proc iml;

start main;


y={7,

   9,

   10,

   6,

   9};


  X={1,

   1,

   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 1 0 0 0,

   0 0 1 0 0,

   0 0 0 1 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)#(1/3);

print C BU RMSE;


C22={0.64586    0.16981   0.18432   0.37880   0.22496,

     0.16981    0.66037   0.16981   0.39622   0.39622,

     0.18432    0.16981   0.64586   0.22496   0.37880,

     0.37880    0.39622   0.22496   0.73004   0.34542,

     0.22496    0.39622   0.37880   0.34542   0.73004};


PEV=C22#RMSE;

SIGMA_A=RMSE*(1/LAM);

PV=A*SIGMA_A+PEV;

PRINT PEV PV;

finish main;

run;

quit;