04-04-2015 12:16 PM
There are a few transformations that can be useful in compressing the tails of extreme valued data. One is the inverse hyperbolic sine, for which there is a SAS function. Another is Lambert's W, Lambert W-Function -- from Wolfram MathWorld
R has a function for this transformation. In searching for it on SAS Support, it looked like the OR Reliability module might have some Gumbel-type proxy for it...but I couldn't find an explicit statement or confirmation of the existence of a function.
Anybody know if a Lambert's W function, and it's inverse, exists in SAS?
09-17-2016 07:46 PM
You can download a SAS/IML implementation of the Lambert W function. The function has two branches, so yo uneed to know which branch to use.