急求，两个变量的协方差（COV）用SAS怎么算

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收藏 2012-08-27

各位大神，小弟需要写一个分析债券非流动性的程序，其中一步是计算 r = -COV[ p(n), p(n+1)] ，其中p(n) = price(n+1) - price(n) ，按照id分组。请问这个程序用SAS该怎么写呢？
导师分配的任务，快到deadline了，急求各位大神指点！！谢谢~

截取的部分数据：
id price
00846UAB7 101.84
00846UAB7 101.5
00846UAB7 100.564
00846UAB7 100.564
00846UAB7 100.563999
00846UAB7 100.563599
00846UAB7 100.365799
00846UAB7 100.283
00846UAB7 100.283
00846UAB7 100.283
013817AB7 112.144
013817AB7 112.144
013817AB7 112.275
013817AB7 112.189999
013817AB7 111.424
013817AB7 111.424
013817AB7 112.024
013817AB7 111.954999
013817AB7 111.329714
013817AB7 111.3297

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ziyenano

2012-8-27 16:14:32

data ex;
input
id:$10.       price;
cards;
00846UAB7             101.84
00846UAB7             101.5
00846UAB7             100.564
00846UAB7             100.564
00846UAB7             100.563999
00846UAB7             100.563599
00846UAB7             100.365799
00846UAB7             100.283
00846UAB7             100.283
00846UAB7             100.283
013817AB7             112.144
013817AB7             112.144
013817AB7             112.275
013817AB7             112.189999
013817AB7             111.424
013817AB7             111.424
013817AB7             112.024
013817AB7             111.954999
013817AB7             111.329714
013817AB7             111.3297
;
run;
proc sort data=ex;
by id;
run;
data ex1;
set ex;
by id;
retain n;
p1=dif(price);
p2=lag(p1);
if first.id then do;
n=_n_;
delete;
end;
if _n_=n+1 then delete;
run;

ods listing close;
ods output cov=cov(drop=variable rename=(p1=cov));
proc corr data=ex1 cov;
by id;
var p1;
with p2;
run;