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Posted 08-10-2017 08:29 AM
(2059 views)

I searched on line and found the following link:

which discussed calculating the lower triangular matrix. The attached code was provided at the link:

```
/*LOWER TRIANGULAR CODE SAS IML*/
proc import out=a
datafile='/folders/myfolders/dmatrix/lnparam.csv/'
dbms=csv replace;
getnames=yes;
datarow=2;
run;
proc iml;
/*To get the values in a vector, you can use*/
lower = symsqr(a);
upper = symsqr(a`);
/*If you need the lower triangular matrix with zeros above the diagonal, you can use:*/
n = nrow(a);
p = ncol(a);
low = j(n, p, 0);
do i = 1 to n;
cols = 1:i; /* or cols=iSmiley Tongue; */
low[i, cols] = a[i, cols];
end;
quit;
```

When I run the code I get several errors:

/*To get the values in a vector, you can use*/

107 lower = symsqr(a);

ERROR: (execution) Matrix has not been set to a value. I get the same error for a'

/*If you need the lower triangular matrix with zeros above the diagonal, you can use:*/

111 n = nrow(a);

112 p = ncol(a);

113 low = j(n, p, 0);

ERROR: (execution) Invalid operand to operation.

I have attached my data set lnparam.txt

Can someone with expertise in SAS IML tell me how to correct the error?

A final question related to the lower triangle matrix. If one calls the lower triangular matrix D and D' its transpose (i.e., does the

var cov matrix=DxD')?

1 ACCEPTED SOLUTION

Accepted Solutions

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The matrix 'a' is a data matrix. The "lower triangular portion" of a data matrix is not useful.

If you compute C=cov(A), then C is a symmetric matrix, so the lower triangular portion is relevant and useful. However, the lower triangular matrix does not have the property that you are trying to claim.

I am going to guess that you want the Cholesky decomposition of the covariance matrix, which is the upper triangular matrix U such that C = U` * U. Equivalently, you can define L = U` so that C = L * L`. You can compute the Cholesky matrix by using the ROOT function in SAS/IML, as follows:

```
proc iml;
use a;
read all var _NUM_ into a;
close;
C = cov(a);
U = root(C); /* C = U` * U */
L = U`; /* C = L * L` */
/* test to make sure it works */
C2 = L*L`;
print L, C, C2;
```

4 REPLIES 4

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First, could you please edit the title of this thread to make it more informative? Perhaps "How to extract the lower triangular portion of a matrix".

In the previous thread that you link to, the responder used

a = {1 2 3, 4 5 6, 7 8 9};

**before** writing the code that you quote. Your problem is that you have not read the data into an IML matrix.

Use

```
proc iml;
use a;
read all var _NUM_ into a;
close a;
```

For more information about reading data sets into SAS/IML matrices, see the article "Reading all variables into a matrix."

*> A final question related to the lower triangle matrix. If one calls the lower triangular matrix D and D' *

*> its transpose,** does the var *cov* matrix=DxD'*

No. You are reading in the data matrix. You can obtain the variance-covariance matrix by using

C = cov(a);

You can then get the lower triangular elements of C, if that is important.

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I was able to modify code to read:

proc iml;

use a;

read all var _ALL_ into A;

close a;

show names;

The code read the data in to ( a), however I got an error related to the

symsqr statement which I looked up which states that it packs the elements

from the lower triangular portion into a column. The error was:

113 lower = symsqr(a);

ERROR: (execution) Matrix should be square.

How do I address this issue since my matrix is not square?

There is also an issue with the i subscript which I guess would be related

to the matrix not being square:

121 cols = 1:i;

121 ! /* or cols=iSmiley Tongue; */

122 low[i, cols] = a[i, cols];

123 end;

ERROR: (execution) Invalid subscript or subscript out of range.

How can this issue be resolved?

Based upon your answer related to my final question > does the var cov

matrix=DxD' I would surmise that

If C=cov(a) then VAR COV=lower triangular C x C'. Would that be correct?

Thanks for your response.

proc iml;

use a;

read all var _ALL_ into A;

close a;

show names;

The code read the data in to ( a), however I got an error related to the

symsqr statement which I looked up which states that it packs the elements

from the lower triangular portion into a column. The error was:

113 lower = symsqr(a);

ERROR: (execution) Matrix should be square.

How do I address this issue since my matrix is not square?

There is also an issue with the i subscript which I guess would be related

to the matrix not being square:

121 cols = 1:i;

121 ! /* or cols=iSmiley Tongue; */

122 low[i, cols] = a[i, cols];

123 end;

ERROR: (execution) Invalid subscript or subscript out of range.

How can this issue be resolved?

Based upon your answer related to my final question > does the var cov

matrix=DxD' I would surmise that

If C=cov(a) then VAR COV=lower triangular C x C'. Would that be correct?

Thanks for your response.

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The matrix 'a' is a data matrix. The "lower triangular portion" of a data matrix is not useful.

If you compute C=cov(A), then C is a symmetric matrix, so the lower triangular portion is relevant and useful. However, the lower triangular matrix does not have the property that you are trying to claim.

I am going to guess that you want the Cholesky decomposition of the covariance matrix, which is the upper triangular matrix U such that C = U` * U. Equivalently, you can define L = U` so that C = L * L`. You can compute the Cholesky matrix by using the ROOT function in SAS/IML, as follows:

```
proc iml;
use a;
read all var _NUM_ into a;
close;
C = cov(a);
U = root(C); /* C = U` * U */
L = U`; /* C = L * L` */
/* test to make sure it works */
C2 = L*L`;
print L, C, C2;
```

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Worked just as you stated and the key element was use of the Cholesky matrix and the root function in SAS IML.

Thanks

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