parse of the correlation matrices used for risk aggregation. More...
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parse of the correlation matrices used for risk aggregation.
[in] | ds_in_corr_matrix | Unstructured correlation matrix table. |
[in] | working_libname | Working LIBNAME. By default, it is set to work. This option is typically used to facilitate debugging. |
[out] | ds_out_matrix | Structured correlation matrix table. |
Given a correlation matrix (DS_IN_CORR_MATRIX) specified in an unstructured form (specifying k elements), this macro returns a structured correlation matrix (DS_OUT_CORR_MATRIX) containing n*n elements where k=n*(n-1)/2.
For example the following unstructured correlation matrix defined by k=10 elements
Correlation Identifier | Correlation Measurement |
---|---|
Corr(item1,item2) | num1 |
Corr(item1,item3) | num2 |
Corr(item1,item4) | num3 |
Corr(item1,item5) | num4 |
Corr(item2,item3) | num5 |
Corr(item2,item4) | num6 |
Corr(item2,item5) | num7 |
Corr(item3,item4) | num8 |
Corr(item3,item5) | num9 |
Corr(item4,item5) | num10 |
is equivalent to the following 5*5 structured correlation matrix
item1 | item2 | item3 | item4 | item5 | |
---|---|---|---|---|---|
item1 | 1 | num1 | num2 | num3 | num4 |
item2 | num1 | 1 | num5 | num6 | num7 |
item3 | num2 | num5 | 1 | num8 | num9 |
item4 | num3 | num6 | num8 | 1 | num10 |
item5 | num4 | num7 | num9 | num10 | 1 |
Definition in file irmc_riskagg_corr_mat_parser.sas.