Login     Register

        Contact Us     Search

XLeratorDB/windowing Documentation

SQL Server moving RSQ function


MovingRSQ

Updated: 31 Oct 2012


Use the RunningRSQ function to calculate the square of the Pearson product moment correlation coefficient through data points in y- and x-values within a resultant table or partition, without the need for a self-join. The correlation coefficient is calculated for each value from the first value in the window to the last value in the window. If the column values are presented to the functions out of order, an error message will be generated.
Syntax
SELECT [Example].[wct].[MovingRSQ](
  <@Y, float,>
 ,<@X, float,>
 ,<@Offset, int,>
 ,<@RowNum, int,>
 ,<@Id, tinyint,>)
GO
Arguments
@Y
the y-value passed into the function. @Y is an expression of type float or of a type that can be implicitly converted to float.
@X
the x-value passed into the function. @X is an expression of type float or of a type that can be implicitly converted to float.
@Offset
specifies the window size. @Offset is an expression of type int or of a type that can be implicitly converted to int.
@RowNum
the number of the row within the group for which the sum is being calculated. If @RowNum for the current row in a set is less than or equal to the previous @RowNum and @RowNum is not equal to 1, an error message will be generated. @RowNum is an expression of type int or of a type that can be implicitly converted to int.
@Id
a unique identifier for the MovingRSQ calculation. @Id allows you to specify multiple MovingRSQ calculations within a resultant table. @Id is an expression of type tinyint or of a type that can be implicitly converted to tinyint.
Remarks
·         If @Id is NULL then @Id = 0.
·         @RowNum must be in ascending order.
·         To calculate the square of the correlation coefficient over an entire dateset or partition of x- and y-values use the RunningRSQ function.
·         If @RowNum = 1 then MovingRSQ is NULL.
·         To calculated a single square of the correlation coefficient value for a set of x- and y-values, use the RSQ function.
·         There may be cases where the order in which the data are returned to the function and the order in which the results are returned are different, generally due to parallelism. You can use OPTION(MAXDOP 1) or OPTION(MAXDOP 1,FORCE ORDER) to help eliminate this problem.
Example
In this example we will calculate the square of the correlation coefficient in the relationship between square footage and house prices with a window of 5 rows. We will create a temporary table, #se, populate it with some data and then run the SELECT.
--Create the temporary table
CREATE TABLE #se(
      rn          int,
      id_lot      int,
      amt_sqft    int,
      amt_price   int,
      PRIMARY KEY (rn)
      )
--Put some date in the table
INSERT INTO #se VALUES (1,21783,1147,393918)
INSERT INTO #se VALUES (2,94729,1313,470479)
INSERT INTO #se VALUES (3,33028,1433,512474)
INSERT INTO #se VALUES (4,59446,1724,610477)
INSERT INTO #se VALUES (5,97646,1162,388196)
INSERT INTO #se VALUES (6,44823,1813,636916)
INSERT INTO #se VALUES (7,88397,1105,374348)
INSERT INTO #se VALUES (8,13588,1555,559149)
INSERT INTO #se VALUES (9,13891,1775,623900)
INSERT INTO #se VALUES (10,90957,1585,563947)
INSERT INTO #se VALUES (11,44167,1510,529806)
INSERT INTO #se VALUES (12,75533,1628,592533)
INSERT INTO #se VALUES (13,56812,1145,408634)
INSERT INTO #se VALUES (14,12897,1632,589522)
INSERT INTO #se VALUES (15,93826,1850,668852)
INSERT INTO #se VALUES (16,74510,1867,633400)
INSERT INTO #se VALUES (17,17262,1587,552178)
INSERT INTO #se VALUES (18,30929,1809,633141)
INSERT INTO #se VALUES (19,49030,1521,555713)
INSERT INTO #se VALUES (20,33431,1195,434542)
--Calculate RSQ
SELECT id_lot
,amt_sqft
,amt_price
,wct.MovingRSQ(amt_price,amt_sqft,4, ROW_NUMBER() OVER (ORDER BY amt_sqft),NULL) as RSQ
FROM #se
ORDER BY amt_sqft
--Clean up
DROP TABLE #se
 
 
This produces the following result.
     id_lot    amt_sqft   amt_price                    RSQ
----------- ----------- ----------- ----------------------
      88397        1105      374348                   NULL
      56812        1145      408634                      1
      21783        1147      393918      0.783257864773169
      97646        1162      388196      0.368403412063324
      33431        1195      434542      0.727882157885411
      94729        1313      470479      0.858219817556916
      33028        1433      512474      0.947832266975737
      44167        1510      529806      0.946979790889771
      49030        1521      555713      0.972282310016996
      13588        1555      559149      0.953657577768376
      90957        1585      563947      0.867549572489563
      17262        1587      552178        0.4346426911753
      75533        1628      592533      0.550975592643655
      12897        1632      589522      0.768226450695132
      59446        1724      610477      0.815145688873511
      13891        1775      623900      0.846900842420089
      30929        1809      633141      0.991096003827821
      44823        1813      636916      0.993459323073404
      93826        1850      668852      0.870912190454448
      74510        1867      633400      0.307574009542869
 
 


Copyright 2008-2013 WestClinTech LLC         Privacy Policy        Terms of Service