Problem Note 19279: Specification of weight values for MOVAVE transformation operator is incorrect in the SAS/ETS® User's Guide
In SAS OnlineDoc® for SAS®9 and later, the SAS/ETS® User's Guide
contains incorrect weight values for the MOVAVE transformation operator.
In the "Table of Transformation Operators", the following formula for
the MOVAVE(w1...wn) operator is given:
n n
(Sum (w_j * x_(t-j+1) ) / (Sum (w_j)))
j=1 j=1
For a 5-term weighted moving average in which MOVAVE(w1 w2 w3 w4 w5) is
specified in the CONVERT statement, the documentation implies that the
calculation for observation 10 of the data would be as follows:
ma_10 = (w1*x_10 + w2*x_9 + w3*x_8 + w4*x_7 + w5*x_6) / 1
However, PROC EXPAND performs the calculation as follows:
ma_10 = (w1*x_6 + w2*x_7 + w3*x_8 + w4*x_9 + w5*x_10) / 1
NOTE: The denominator in the preceding formulas is 1 because the
weights are normalized to sum to 1.
The computational formula for the MOVAVE(w1...wn) transformation
operator should be documented as follows:
n n
(Sum (w_j * x_(t-n+j) ) / (Sum (w_j)))
j=1 j=1
where n is the number of weights specified.
Therefore, when you specify weights for the MOVAVE (w1...wn)
transformation operator, the last weight "wn" should match the current
observation, and the first weight "w1" should match the lag "n"
observation.
Operating System and Release Information
| SAS System | SAS/ETS | Microsoft Windows XP Professional | 8.2 TS2M0 | 9.2 |
| Microsoft Windows NT Workstation | 8.2 TS2M0 | |
| Microsoft Windows 95/98 | 8.2 TS2M0 | |
| Windows Millennium Edition (Me) | 8.2 TS2M0 | |
| Microsoft® Windows® for 64-Bit Itanium-based Systems | 9.1 TS1M0 | 9.2 |
| Microsoft Windows Server 2003 Enterprise Edition | 8.2 TS2M0 | 9.2 |
| Microsoft Windows Server 2003 Standard Edition | 8.2 TS2M0 | 9.2 |
| Microsoft Windows 2000 Professional | 8.2 TS2M0 | 9.2 |
| Microsoft Windows 2000 Server | 8.2 TS2M0 | 9.2 |
| Microsoft Windows Server 2003 Datacenter Edition | 8.2 TS2M0 | 9.2 |
| Microsoft Windows 2000 Datacenter Server | 8.2 TS2M0 | 9.2 |
| OpenVMS VAX | 8.2 TS2M0 | |
| Microsoft Windows 2000 Advanced Server | 8.2 TS2M0 | 9.2 |
| Solaris | 8.2 TS2M0 | 9.2 |
| 64-bit Enabled Solaris | 8.2 TS2M0 | 9.2 |
| Solaris for x64 | 9.1 TS1M3 SP4 | 9.2 |
| IRIX | 8.2 TS2M0 | |
| OS/2 | 8.2 TS2M0 | |
| z/OS | 8.2 TS2M0 | 9.2 |
| Linux | 8.2 TS2M0 | 9.2 |
| Linux on Itanium | 9.1 TS1M3 | |
| ABI+ for Intel Architecture | 8.2 TS2M0 | |
| 64-bit Enabled HP-UX | 8.2 TS2M0 | 9.2 |
| HP-UX | 8.2 TS2M0 | 9.2 |
| HP-UX IPF | 9.1 TS1M0 | 9.2 |
| CMS | 8.2 TS2M0 | |
| OpenVMS Alpha | 8.2 TS2M0 | 9.2 |
| 64-bit Enabled AIX | 8.2 TS2M0 | |
| Tru64 UNIX | 8.2 TS2M0 | 9.2 |
| AIX | 8.2 TS2M0 | |
*
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: | medium |
| Topic: | Analytics ==> Missing Value Imputation Analytics ==> Time Series Analysis SAS Reference ==> Procedures ==> EXPAND Analytics ==> Transformations Analytics ==> Financial Data Access and Manipulation
|
| Date Modified: | 2007-01-30 13:53:12 |
| Date Created: | 2007-01-04 09:24:17 |