topic Re: Calculation of medcouple in SAS Programming

Calculation of medcouple

AlexeyS — Thu, 22 Mar 2018 07:09:46 GMT

I am looking for SAS code to calculate the medcouple, has anyone such knowledge?

https://en.wikipedia.org/wiki/Medcouple

Re: Calculation of medcouple

Ksharp — Thu, 22 Mar 2018 12:28:05 GMT

It is my first time to hear this term. I don't know if @Rick_SAS could write some IML code to make it happen.

Re: Calculation of medcouple

AlexeyS — Thu, 22 Mar 2018 12:53:08 GMT

Unfortunately, I need it in SAS BASE, and not in SAS IML.

Re: Calculation of medcouple

Rick_SAS — Thu, 22 Mar 2018 12:58:43 GMT

I am familiar with this concept, but I do not have any non-IML code to share.

Re: Calculation of medcouple

mkeintz — Fri, 27 Apr 2018 20:17:05 GMT

Here's the brute force way. I.e. it doesn't take advantage of the "fast" algorithm in the Wikipedia reference. so it won't scale well against larger datasets.

The example finds the medcouple stat for variable CLOSE in sashelp.stocks for IBM stocks (N=233). If you have a test data set to confirm correctness of the algorithm, I'd suggest running it.

data have (keep=date close);
  set sashelp.stocks;
  where stock='IBM';
run;


proc means data=have noprint;
  output out=median  median=median;
  var close;
run;


data vneed (keep=h) / view=vneed;
  set have end=end_of_have;
  if _n_=1 then set median;

  array upper{2000} _temporary_; /* distance of upper obs to median*/
  array lower{2000} _temporary_; /* distance of lower obs to median*/

  if close>=median then do;
    P+1;
    upper{p}=close-median;
  end;
  if close<=median then do;
    Q+1;
    lower{q}=median-close;
  end;

  if end_of_have;
  do i=1 to P;
    do j=1 to Q;
      if upper{i}=0 and lower{j}=0 then h=sign(P-1-i-j);
      else h= (upper{i}-lower{j})/(upper{i}+lower{j});
      output;
    end;
  end;
run;
proc means data=vneed median; var h;
run;

Re: Calculation of medcouple

peiting — Fri, 03 Apr 2020 14:33:10 GMT

Hi, I'm newbie here. may I clarify array upper {2000} and lower {2000}? is the 2000 is the max & min value of the dataset?

Thank you!

Re: Calculation of medcouple

JosvanderVelden — Wed, 02 Oct 2024 18:27:24 GMT

Have a look at this paper: https://www.lexjansen.com/wuss/2023/WUSS-2023-Paper-158.pdf