Help using Base SAS procedures

Variance of a weighted sum

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Variance of a weighted sum

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.

Super User
Posts: 10,041

Re: Variance of a weighted sum

Posted in reply to sas_new_user

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

Super User
Posts: 11,343

Re: Variance of a weighted sum

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).

Super User
Posts: 10,041

Re: Variance of a weighted sum

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

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