问题
Hye guys,
I included a screenshot to help clarify my problem:
http://i40.tinypic.com/mcrnmv.jpg.
I'm trying to calculate some kind of moving average and moving standard deviation. The thing is I want to calculate the coefficients of variation (stdev/avg) for the actual value. Normally this is done by calculating the stdev and avg for the past 5 years. However sometimes there will be observations in my database for which I do not have the information of the past 5 years (maybe only 3, 2 etc). That's why i want a code that will calculate the avg and stdev even if there is no information for the whole 5 years.
Also, as you see in the observations, sometimes I have information over more than 5 years, when this is the case I need some kind of moving average which allows me to calculate the avg and stdev for the past 5 year. So if a company has information for 7 years I need some kind of code that will calculate the avg and stdev for, lets say, 1997 (by 1991-1996), 1998 (by 1992-1997) and 1999 (1993-1998).
As i'm not very familiar with sas commands it should look (very very roughly) like:
set var
if year = i then stdev=stdev(year(i-6) untill year(i-1)) and average = avg(year(i-6) untill year(i-1))
Or something like this, I really have no clue, I'm gonna try and figure it out but it's worth posting it if I won't find it myself.
Thanks!
回答1:
I would advocate proc sql here for readability. Using Chang Chung's data as an example you could try the following:
/* test data */
data one;
input symbol $ value date :date9.;
format date date9.;
cards;
ABP1 -0.025 18feb1997
ABP1 0.05 25feb1998
ABP1 -0.025 05mar1999
ABP1 0.06 20mar2000
ABP1 0.25 05mar2001
ABP1 0.455 07mar2002
ABP1 0.73 25feb2003
ABP1 1.01 19feb2004
ABP1 1.25 16feb2005
ABP1 1.65 09feb2006
ABP1 1.87 08feb2007
ABT 0.555 14jan1991
ABT 0.6375 14jan1992
ABT 0.73 16jan1993
;
run;
proc sql;
create table two as
select distinct
a.symbol,
b.value,
year(a.date) as year,
b.date as date5
from
one a,
one b
where
a.symbol=b.symbol
and intck('year',b.date,a.date) between 1 and 5
order by
a.symbol,
year,
date5;
quit;
proc sql;
create table three as
select distinct
symbol,
year,
count(symbol) as n5,
avg(value) as avg5,
std(value) as std5
from
two
group by
symbol,
year;
quit;
回答2:
The correct way to do it is to use PROC EXPAND.
There are a lot of options you can use with it but you might want to do
PROC EXPAND DATA=TESTTEST OUT=MOVINGAVERAGE;
CONVERT VAL=AVG / TRANSFORMOUT=(MOVAVE 5);
RUN;
and likewise for MOVSTD. It automatically ignores missing values but you can adjust that behavior as well
回答3:
Here is one way. Hope this helps.
/* test data */
data one;
input symbol $ value date :date9.;
format date date9.;
cards;
ABP1 -0.025 18feb1997
ABP1 0.05 25feb1998
ABP1 -0.025 05mar1999
ABP1 0.06 20mar2000
ABP1 0.25 05mar2001
ABP1 0.455 07mar2002
ABP1 0.73 25feb2003
ABP1 1.01 19feb2004
ABP1 1.25 16feb2005
ABP1 1.65 09feb2006
ABP1 1.87 08feb2007
ABT 0.555 14jan1991
ABT 0.6375 14jan1992
ABT 0.73 16jan1993
;
run;
/* 5 year moving avg, stdev, cv assuming:
one obs per year from 1990 to 2010.
observations are already in the sorted order by symbol. */
%let START = 1990;
%let FINISH = 2010;
data two;
array val[%eval(&START-3):&FINISH] val1-val3 val&START-val&FINISH;
call missing(of val&START-val&FINISH);
do until (last.symbol);
set one;
by symbol;
year = year(date);
if &START<=year<=&FINISH then val[year] = value;
end;
do year = %eval(&START+2) to &FINISH;
avg5 = mean(val[year-5],val[year-4],val[year-3],val[year-2],val[year-1]);
std5 = std(val[year-5],val[year-4],val[year-3],val[year-2],val[year-1]);
cv5 = divide(std5,avg5);
if not missing(cv5) then output;
end;
keep symbol year avg5 std5 cv5;
run;
/* check */
proc print data=two;
run;
/* on lst
Obs symbol year avg5 std5 cv5
1 ABP1 1999 0.01250 0.05303 4.24264
2 ABP1 2001 0.01500 0.04637 3.09121
3 ABP1 2002 0.06200 0.11251 1.81461
4 ABP1 2003 0.15800 0.19457 1.23146
5 ABP1 2004 0.29400 0.30597 1.04071
6 ABP1 2005 0.50100 0.37786 0.75422
7 ABP1 2006 0.73900 0.40448 0.54734
8 ABP1 2007 1.01900 0.46185 0.45324
9 ABP1 2008 1.30200 0.46338 0.35590
10 ABP1 2009 1.44500 0.38726 0.26800
11 ABP1 2010 1.59000 0.31432 0.19769
12 ABT 1993 0.59625 0.05834 0.09784
13 ABT 1994 0.64083 0.08755 0.13662
14 ABT 1995 0.64083 0.08755 0.13662
15 ABT 1996 0.64083 0.08755 0.13662
16 ABT 1997 0.68375 0.06541 0.09566
*/
来源:https://stackoverflow.com/questions/2460970/calculating-moving-average-stdev-in-sas