topic Re: remove short peaks and troughs in time series in SAS Programming

remove short peaks and troughs in time series

csetzkorn — Wed, 03 May 2017 07:24:09 GMT

I only have base sas and wonder and have exhaustive daily values for some time series. Just curious, is there an easy way to remove short peaks and throughs. Here shortness is defined by a parameter n representing the number of days)?

Re: remove short peaks and troughs in time series

Reeza — Wed, 03 May 2017 07:51:44 GMT

Do you have SAS/Stat or ETS?

You can check with the following:

proc setinit;

run;

Re: remove short peaks and troughs in time series

Ksharp — Wed, 03 May 2017 13:01:21 GMT

http://blogs.sas.com/content/iml/2013/08/28/finite-diff-estimate-maxi.html

Re: remove short peaks and troughs in time series

csetzkorn — Wed, 03 May 2017 19:39:40 GMT

Thanks. Have SAS/Stat but as I said not ets.

Re: remove short peaks and troughs in time series

Reeza — Wed, 03 May 2017 19:59:21 GMT

@csetzkorn wrote:
Thanks. Have SAS/Stat but as I said not ets.

Your initial posts say Base SAS, nothing about ETS/IML/STAT modules.

One way remove peaks/throughs is a moving average. Determine your cycle length and then apply a moving average.

For the moving average calculation you can use a temporary array method illustrated

http://support.sas.com/kb/41/380.html

If you have IML, you have more options but it means doing the math yourself that having the ability to use the predesigned procedures.

Re: remove short peaks and troughs in time series

mkeintz — Thu, 04 May 2017 01:49:02 GMT

Let's say you have daily data sorted by PERMNO (a stock identifier) and DATE. You want 15-day moving averages of PRICE, but will accept window sizes as small as 10-days:

%let winsiz=15;
%let minwin=10;

data want;
  set have;
  by permno;

  if first.permno then do;
    NDays=0;
    sum_price=0;
  end;
  if NDays<&winsiz then NDays+1;

  sum_price + price - ifn(NDays>&winsiz,lag&winsiz(price),0);
  if NDays>=&minwin;
  mean=sum_price/NDays;
run;