topic Variance of a weighted sum in SAS Procedures

Variance of a weighted sum

sas_new_user — Sun, 13 May 2012 07:10:21 GMT

Hi folks,

Can anybody shed some insight on the procedure to use for calculating the variance of a weighted sum? Basically what I'm looking for is SAS 9.3 code to calculate var(z) in the following equation:

var(z) = a^2[var(x)] + b^2[var(y)]

a&b are the weights, x&y are the variables for which variance is to be calculated. More information can be provided if necessary.

Thanks in advance for considering.

Re: Variance of a weighted sum

Ksharp — Mon, 14 May 2012 03:14:26 GMT

proc means , proc summary ,proc univariate ........... can do it.

proc means data=sashelp.class nway noprint;
class sex;
var height;
weight age;
output out=want var=height_weight_var ;
run;

Ksharp

Re: Variance of a weighted sum

ballardw — Mon, 14 May 2012 16:13:56 GMT

To use two different weights you will need to make a pass through means for each weight variable.

Then combine the two resulting data sets to calculate your var( Z).

Re: Variance of a weighted sum

Ksharp — Tue, 15 May 2012 02:39:25 GMT

Ou. Sorry ! I misunderstood what op mean. I even don't notice there are two variables being the weight.