Loss Given Default (LGD) is a key business metric of risk in financial service. One unique feature of this metric is overdispersion and the other is multi-mode. Finite mixture model is an effective way to accommodate both. Multi-mode refers to the case...
Call center management is both Arts and Sciences. While driving moral and setting up strategies is more about Arts, staffing and servicing level configuration based on call load is in the domain of Sciences.The science part of call center management is...
Test the Stochastic Gradient Decending Logistic Regression in SAS. The logic and code follows the code piece of Ravi Varadhan, Ph.D from this discussion of R Help. The blog SAS Die Hard also has a post about SGD Logistic Regression in SAS.filename foo ...
SAS used to not support multithreading in PCA, then I figured out that its server version supports this functionality, see here. Today, I found this mutlithreading capability is finally available in PC SAS v9.22.The figure above indicates that all 4 th...
Today, Rick (blog @ here) wrote an article about random number seed in SAS to be used in random number functions in DATA Step. Rick noticed when multiple random number functions are called using different seeds, only the first one matters. This is...
Partial Least Square (PLS) is a powerful tool for discriminant analysis with large number of predictors [1].PLS extracts latent factors that maximize the covariance between independent variables and dependent variables. This process is equivalent to Ge...
In Chapter 3 of "Bayesian Computation with R", Jim Albert talked about how to conduct 2 fundamental tasks of Statistics, namely Estimation and Hypothesis Testing in a single parameter framework.The structure of this chapter is organized as the followin...
Recently, I am working on coding in SAS for a set of regularized regressions and need to compute trace of the projection matrix:$$ S=X(X'X + \lambda I)^{-1}X' $$.Wikipedia has a well written introduction to Trace @ here.To obtain the inverse of matrix ...
Rick Wicklin discussed in his blog the performance in solving a linear system using SOLVE() function and INV() function from IML. Since regression analysis is an integral part of SAS applications and there are many SAS procedures in SAS/STAT that are c...
We demonstrate a comparison among various implementations of Rolling Regression in SAS and show that the fastest implementation is over 3200X faster than traditional BY-processing approach.More often than not, we encounter a problem where an OLS over a...
