SAS Proc IML rolling window (loop)

Question

I wanted to modify this working module given below into this upper one with purpose that instead of using whole sample of p from 1 to m, the module would use only previous 18 and next 18 values around the time-point x. So p(x-18...x+18). But I end up with error and can't really understand where's the problem. Error message with whole command line at the end of post.

start mhatx2(m,p,h,pi,e);
t5=j(m,1);                   /*mhatx omit x=t*/
upb=m-18;
do x=19 to upb;
lo=x-18;
up=x+18;
i=T(lo:up);
temp1=x-i;
ue=Kmod(temp1,h,pi,e)#p[i];
le=Kmod(temp1,h,pi,e);
t5[x]=(sum(ue)-ue[x])/(sum(le)-le[x]);
end;
return (t5);
finish;



start mhatx2(m,p,h,pi,e);
t5=j(m,1);                   /*mhatx omit x=t*/
do x=1 to nrow(p);
i=T(1:m);
temp1=x-i;
ue=Kmod(temp1,h,pi,e)#p[i];
le=Kmod(temp1,h,pi,e);
t5[x]=(sum(ue)-ue[x])/(sum(le)-le[x]);
end;
return (t5);
finish;

Error message:

430  proc iml;
NOTE: IML Ready
431
432
433  EDIT kirjasto.basfraaka var "open";
434
435  read all var "open" into p;
436
437
438  m=nrow(p);
439  x=T(1:m);
440  pi=constant("pi");
441  e=constant("e");
442
443  h=0.75;
444
445  start Kmod(x,h,pi,e);
446  k=1/(h#(2#pi)##(1/2))#e##(-x##2/(2#h##2));
447  return (k);
448  finish;
NOTE: Module KMOD defined.
449  start mhatx2(m,p,h,pi,e);
450  t5=j(m,1);
450!                              /*mhatx omit x=t*/
451  upb=m-18;
452  do x=19 to upb;
453  lo=x-18;
454  up=x+18;
455  i=T(lo:up);
456  temp1=x-i;
457  ue=Kmod(temp1,h,pi,e)#p[i];
458  le=Kmod(temp1,h,pi,e);
459  t5[x]=(sum(ue)-ue[x])/(sum(le)-le[x]);
460  end;
461  return (t5);
462  finish;
NOTE: Module MHATX2 defined.
463
464  ptz=j(m,1);
465  ptz=mhatx2(m,p,h,pi,e);
ERROR: (execution) Invalid subscript or subscript out of range.

 operation : [ at line 459 column 18
 operands  : ue, x
ue     37 rows      1 col     (numeric)

x      1 row       1 col     (numeric)

        38

 statement : ASSIGN at line 459 column 1
 traceback : module MHATX2 at line 459 column 1

NOTE: Paused in module MHATX2.
466  print ptz;
ERROR: Matrix ptz has not been set to a value.

 statement : PRINT at line 466 column 1

Joe Joe · Accepted Answer · 2014-07-21T15:18:42

It looks like this line:

t5[x]=(sum(ue)-ue[x])/(sum(le)-le[x]);

is incorrectly referencing ue and le members. If you're trying to subtract out the 'current iteration' piece, then you want

t5[x]=(sum(ue)-ue[19])/(sum(le)-le[19]);

since that is the 'middle' of the range (which corresponds to the current x value).

SAS Proc IML rolling window (loop)

1 Answers