Proc NPAR1WAY in v9.4 contains an option for the two sample Hodges-Lehmann location estimate but, based on my survey of the SAS Support literature, there does not appear to be a procedure supporting a univariate HL estimate nor does there appear to be a computationally feasible approach to producing on with large n.
Is this correct?
I'm sure you are aware that the H-L estimator requires N(N+1)/2 comparisons to estimate the location parameter in the population. In contrast, the sample median estimates the location parameter much faster and is also a robust estimator. For a data set with millions of records, I would expect the median and the H-L estimate (the pseudo-median) to be very close.
How big is your sample size, N?
I'm sure you are aware that the H-L estimator requires N(N+1)/2 comparisons to estimate the location parameter in the population. In contrast, the sample median estimates the location parameter much faster and is also a robust estimator. For a data set with millions of records, I would expect the median and the H-L estimate (the pseudo-median) to be very close.
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