Proc Expand Puzzle

genemroz — Mon, 16 Dec 2024 17:28:03 GMT

Esteemed advisers:

I’ve been experimenting with Proc Expand. Specifically, with the transformation MOVTVALUE. The documentation says: “They can be viewed as combinations of the moving average (CUAVE, MOVAVE, CMOVAVE) and the moving standard deviation (CUSTD, MOVSTD, CMOVSTD), respectively”. So I was expecting that for a normal distribution, MOVTVALUE would cluster around a value of 0 regardless of the mean of the distribution.

But that’s not what I found. See code below where I created two normal distributions with a mean of 0 and 1. I then used Proc Expand to compute MOVTVALUE and then plotted the result and computed the mean of the t-values.

The plot of t-values for a normal distrubution with a mean of 0 looks as I would expect with values clusters around of mean of (near) zero. But the plot for t-values for normal distribution of a mean of 1 looks very different.

What am I misunderstanding? Thanks in advance for any insights you can provide.

data have;
call streaminit(123);
do i=1 to 100;
test0=rand('normal',0);
test1=rand('normal',1);
output;
end;
run;

proc expand data=have out=out method=none;
id i;
convert test0=tvalue0/transout=(movtvalue 5);
convert test1=tvalue1/transout=(movtvalue 5);
run;

proc sgplot data=out;
   series x=i y=tvalue0  /
   name='tvalue0'   legendlabel="tvalue0" markers markerattrs=(symbol=circlefilled);
      series x=i y=tvalue1  /
   name='tvalue1'   legendlabel="tvalue1" markers markerattrs=(symbol=circlefilled);
   xaxis grid;
   yaxis grid label='t-value';
run;

proc means data=out mean;
var tvalue0 tvalue1;
run;

Re: Proc Expand Puzzle

sbxkoenk — Mon, 16 Dec 2024 17:42:33 GMT

What you see looks correct to me:

PROBLEM: What exactly is the transformation operation MOVTVALUE calculating (on the EXPAND procedure)?
RESOLUTION:
t-statistic (t-value) based on moving windows. t-statistic corresponds to the test statistic of testing if mean being 0 or not. (see TTEST procedure).

For a mean that is not zero you see higher t-values of course. t-values will often become significant then (rejecting null-hypothesis of mean=0).

Koen

Re: Proc Expand Puzzle

genemroz — Mon, 16 Dec 2024 18:22:49 GMT

Thanks for the prompt and clear response. I see where I went off the rails.

Gene

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