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Use the Cholesky transformation to correlate and uncorrelate variables

Rick WicklinFebruary 8, 2012 44

Use the Cholesky transformation to correlate and uncorrelate variables

A variance-covariance matrix expresses linear relationships between variables. Given the covariances between variables, did you know that you can write down an invertible linear transformation that "uncorrelates" the variables? Conversely, you can transform a set of uncorrelated variables into variables with given covariances. The transformation that works this magic is

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Rick WicklinApril 1, 2011 7

Significant changes for SAS blogs

Editor's Note: This article was an April Fool's prank from 2011. The entire article is fake. Today, SAS, the leader in business analytics announces significant changes to two popular SAS blogs, The DO Loop (written by Rick Wicklin) and The SAS Dummy (previously written by Chris Hemedinger). The two blogs

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Rick WicklinMarch 31, 2011 3

Happy milestone to me: My 100th blog post

This week, I posted the 100th article to The DO Loop. To celebrate, I'm going to analyze the content of my first 100 articles. In December 2010, I compiled a list of The DO Loop's most-read posts, so I won't repeat that exercise. Instead, I thought it would be interesting

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Rick WicklinMarch 30, 2011 11

Ranking with confidence: Part 2

In a previous post, I described how to compute means and standard errors for data that I want to rank. The example data (which are available for download) are mean daily delays for 20 US airlines in 2007. The previous post carried out steps 1 and 2 of the method

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Rick WicklinMarch 28, 2011 2

Changing the length of a character matrix

When you create a character matrix in SAS/IML software, the initial values determine the number of characters that can fit into any element of the matrix. For example, the following statements define a 1x3 character matrix: proc iml; m = {"Low" "Med" "High"}; After the matrix is defined, at most

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Rick WicklinMarch 25, 2011 4

Ranking with confidence: Part 1

I recently posted an article about representing uncertainty in rankings on the blog of the ASA Section for Statistical Programmers and Analysts (SSPA). The posting discusses the importance of including confidence intervals or other indicators of uncertainty when you display rankings. Today's article complements the SSPA post by showing how

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Rick WicklinMarch 23, 2011 11

Indirect assignment: How to create and use matrices named x1, x2,..., xn

I recently blogged about how to eliminate a macro loop in favor of using SAS/IML language statements. The purpose of the program was to extract N 3x3 matrices from a big 3Nx3 matrix. The main portion of my PROC IML program looked something like this: proc iml; ... do i=0

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Rick WicklinMarch 21, 2011 8

How to create column names for matrices

Statistical programmers can be creative and innovative. But when it comes to choosing names of variables, often x1, x2, x3,... works as well as any other choice. In this blog post, I have two tips that are related to constructing variable names of the form x1, x2,..., xn. Both tips

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Rick WicklinMarch 18, 2011 4

An analysis of subjects in The Far Side cartoons

Loony. Zany. Brilliant. Hysterical. Those are some of the adjectives I use to describe The Far Side® cartoons by Gary Larson from the 1980s and early '90s. I recently rediscovered an old book, The Far Side Gallery 2, which collects some of the best of Larson's wonderfully wacky cartoons. Every

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Rick WicklinMarch 16, 2011 1

Sorting a matrix by row or column statistics

In a previous blog post, I showed how to use the SAS/IML SORT and SORTNDX subroutines to sort rows of a matrix according to the values of one or more columns. There is another common situation in which you might need to sort a matrix: you compute a statistic for

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