proc iml;

start main;


y={7,

   10,

   6};


  X={1,

     1,

     1};


A={1  0  0 .5   0,

   0  1  0 .5  .5,

   0  0  1  0  .5,

  .5 .5  0  1  .25,

   0 .5 .5 .25  1};


lam=1;


Z={1 0 0 0 0,

   0 0 1 0 0,

   0 0 0 0 1};


LHS=((X`*X)||(X`*Z))//((Z`*X)||(Z`*Z+INV(A)#LAM));


RHS=(X`*Y)//(Z`*Y);


C=INV(LHS);


BU=C*RHS;


RMSE=(Y`*Y-BU`*RHS)#(1/2);

print C BU RMSE;


C22=C[2:6,2:6];


PEV=C22#RMSE;

SIGMA_A=RMSE*(1/LAM);

PV=A*SIGMA_A+PEV;

PRINT PEV PV;

finish main;

run;

quit;