PROC IML;
                                     

rG={   1.00    -0.70       0.25,   
      -0.70     1.00       0.30,
       0.25     0.30       1.00};
                                    

rP={   1.00    -0.50       0.25,
      -0.50     1.00       0.15,
       0.25     0.15       1.00};

sP={0.09, 0.26, 0.46};               
H2={0.30, 0.35, 0.50};               
sG=SQRT(sP#H2#sP);

V0=Hdir(sP, I(3))* rP * Hdir(sP, I(3));   
G0=Hdir(sG, I(3))* rG * Hdir(sG, I(3));   

                                        
W= { 573,                               
    -696,
    -475};

                    PRINT V0;PRINT G0;PRINT w;
b = INV(V0)*G0*w;   PRINT b;                   

V_I = b`*V0*b;                   PRINT V_I;     
V_H = w`*G0*w;                   PRINT V_H;    
R_IH  = SQRT (V_I/V_H);          PRINT R_IH;    

DLT_A = G0*b*(1 / SQRT(V_I) );   PRINT DLT_A;   
                                               

b=b*(1/SQRT(V_I/(25*25)));                      
PRINT b;                                        

* check V0;
V0=diag(sP)* rP * diag(sP);   print V0;

RUN;