Resources

Univariate Location and Scale

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/*          S A S   S A M P L E   L I B R A R Y                 */
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/*    NAME: ROBUST3                                             */
/*   TITLE: Univariate Location and Scale                       */
/* PRODUCT: IML                                                 */
/*    DATA:                                                     */
/*                                                              */
/* SUPPORT: Rick Wicklin                UPDATE: SEP 2013        */
/*     REF:                                                     */
/*    MISC:                                                     */
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proc iml;
y = { 3, 4, 7, 8, 10, 949, 951 };

optn = j(9,1,.);
call lms(scLMS, coefLMS, wgtLMS, optn, y);
call lts(scLTS, coefLTS, wgtLTS, optn, y);

LMSOutliers = loc(wgtLMS[1,]=0);
LTSOutliers = loc(wgtLTS[1,]=0);
print LMSOutliers, LTSOutliers;

rLoc = {"Mean", "Median", "LMS Location", "LTS Location"};
Loc  = mean(y) // median(y) // coefLMS[1] // coefLTS[1];
print Loc[r=rLoc L="Location Estimates"];

rScale = {"StdDev", "MAD", "LMS Scale", "LTS Scale"};
Scale =    std(y) // mad(y) // scLMS[7] // scLTS[7];
print Scale[r=rScale L="Scale Estimates"];