Problem Note 14535: COVLAG function may omit the last autocovariance
The specification:
cov=covlag(x,k);
computes the autocovariances of the vector x for lags 0 through (k-1),
where k can be positive or negative, depending on whether or not a mean
correction is to be performed in the computation of the autocovariances.
If the absolute value of k is equal to n, the number of elements in the
vector, x, then the COVLAG function only computes autocovariances for
lags 0 through n-2, rather than for lags 0 through n-1.
There is no circumvention for this problem other than to perform the
computation for lag (n-1) programmatically and then concatenate that
value to the results returned by the COVLAG function.
Operating System and Release Information
| SAS System | SAS/IML | Microsoft Windows XP Professional | 8.2 TS2M0 | 9.2 TS1M0 |
| Microsoft Windows NT Workstation | 8.2 TS2M0 | |
| Microsoft Windows 95/98 | 8.2 TS2M0 | |
| Microsoft® Windows® for 64-Bit Itanium-based Systems | 9 TS M0 | 9.2 TS1M0 |
| Windows Millennium Edition (Me) | 8.2 TS2M0 | |
| Microsoft Windows Server 2003 Datacenter Edition | 8.2 TS2M0 | 9.2 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 8.2 TS2M0 | 9.2 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 8.2 TS2M0 | 9.2 TS1M0 |
| Microsoft Windows 2000 Professional | 8.2 TS2M0 | |
| Microsoft Windows 2000 Server | 8.2 TS2M0 | |
| Solaris | 8.2 TS2M0 | 9.2 TS1M0 |
| OpenVMS VAX | 8.2 TS2M0 | 9.2 TS1M0 |
| Microsoft Windows 2000 Advanced Server | 8.2 TS2M0 | |
| Microsoft Windows 2000 Datacenter Server | 8.2 TS2M0 | |
| 64-bit Enabled Solaris | 8.2 TS2M0 | 9.2 TS1M0 |
| z/OS | 8.2 TS2M0 | 9.2 TS1M0 |
| IRIX | 8.2 TS2M0 | 9.2 TS1M0 |
| OS/2 | 8.2 TS2M0 | |
| Linux | 8.2 TS2M0 | 9.2 TS1M0 |
| ABI+ for Intel Architecture | 8.2 TS2M0 | 9.2 TS1M0 |
| HP-UX | 8.2 TS2M0 | 9.2 TS1M0 |
| HP-UX IPF | 9 TS M0 | 9.2 TS1M0 |
| 64-bit Enabled HP-UX | 8.2 TS2M0 | 9.2 TS1M0 |
| CMS | 8.2 TS2M0 | |
| OpenVMS Alpha | 8.2 TS2M0 | 9.2 TS1M0 |
| 64-bit Enabled AIX | 8.2 TS2M0 | 9.2 TS1M0 |
| Tru64 UNIX | 8.2 TS2M0 | 9.2 TS1M0 |
| AIX | 8.2 TS2M0 | 9.2 TS1M0 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis
Analytics ==> Forecasting
Analytics ==> Mathematical Optimization
Analytics ==> Exploratory Data Analysis
Analytics ==> Matrix Programming
Analytics ==> Simulation
Analytics ==> Descriptive Statistics
SAS Reference ==> Procedures ==> IML
Analytics ==> Time Series Analysis
Analytics ==> Regression
Analytics ==> Transformations
|
| Date Modified: | 2008-11-26 12:47:08 |
| Date Created: | 2005-02-08 10:00:30 |
