topic Re: How do i get cumulative decayed sum? in SAS Programming

How do i get cumulative decayed sum?

Jhpark1222 — Sat, 21 Aug 2021 10:59:50 GMT

Hi I am currently struggling to get a cumulative 'decayed' sum of variables.

For example, if variable y has value like:

day y

1 4

2 3

3 2

4 6

5 1

6 2

i want to get a variable 'desumy', by each person (let's assume that example that i brought is from a single person), assuming that decaying rate is 0.5 in a day:

day y desumy

1 4 0

2 3 4*0.5

3 2 4*0.5*0.5 + 3*0.5

4 6 4*0.5*0.5*0.5 + 3*0.5*0.5

5 1 4*0.5*0.5*0.5 + 3*0.5*0.5

6 2

i figured out that all i have to do is to create variable 'desumy' that satisfies

desumy_t = (desumy_t-1 + y_t-1)*0.5, but i am struggling to make a code implementing what i want.

Thank you.

Re: How do i get cumulative decayed sum?

Ksharp — Sat, 21 Aug 2021 11:21:35 GMT

You want this ?

data have;
input day  y;
cards;
1      4
2      3
3      2
4      6
5      1
6      2
;

data want;
 set have;
 retain  lag_desumy 0;
 desumy=sum(lag_desumy,lag(y))*0.5;
 lag_desumy=desumy;
 drop lag_desumy;
run;

Re: How do i get cumulative decayed sum?

Tom — Sat, 21 Aug 2021 13:45:02 GMT

Just use retain and lag(). It is even easier if you use a sum statement as then the target variable of the sum statement is automatically retained.

data want;
  set have;
  desumy + lag(y)*0.5 ;
run;

Re: How do i get cumulative decayed sum?

Jhpark1222 — Sat, 21 Aug 2021 16:46:53 GMT

Thanks a lot for your reply.

I am trying to use this in proc nlmixed in order to estimate maximum likelihood, but in proc nlmixed, 'retain ' seems to not work.

0.5 in my original question was decay rate phro, which is a parameter that needs to be estimated through maximum likelihood estimation process.

is there any advice?

Re: How do i get cumulative decayed sum?

Jhpark1222 — Sat, 21 Aug 2021 16:47:20 GMT

Thanks a lot for your reply.

I am trying to use this in proc nlmixed in order to estimate maximum likelihood, but in proc nlmixed, 'retain ' seems to not work.

0.5 in my original question was decay rate phro, which is a parameter that needs to be estimated through maximum likelihood estimation process.

is there any advice?

Re: How do i get cumulative decayed sum?

Ksharp — Sun, 22 Aug 2021 09:45:59 GMT

Calling @StatDave @SteveDenham @lvm

Re: How do i get cumulative decayed sum?

SteveDenham — Mon, 23 Aug 2021 13:13:50 GMT

Not real sure this approach will work, but you might try arranging your data so that each desumy and y are read in as input, and desumy_t is a dependent variable. Then you could fit this

desumy_t = (desumy_t-1 + y_t-1)*prho;

assuming some sort of count related distribution (poisson, negbin or generalized poisson).

SteveDenham