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 1 0};


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={0.7692308 -0.461538 -0.153846 -0.384615 -0.461538 -0.269231 

        -0.461538 0.7435897  0.025641 0.2307692 0.4102564 0.1282051 

        -0.153846  0.025641 0.8974359 0.0769231 0.3589744 0.4871795 

        -0.384615 0.2307692 0.0769231 0.6923077 0.2307692 0.3846154 

        -0.461538 0.4102564 0.3589744 0.2307692 0.7435897 0.2948718 

        -0.269231 0.1282051 0.4871795 0.3846154 0.2948718 0.9358974};


PEV=C22#RMSE;

SIGMA_A=RMSE*(1/LAM);

PV=A*SIGMA_A+PEV;

PRINT PEV PV;

finish main;

run;

quit;