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?
... View more