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XLeratorDB/windowing Documentation

SQL Server moving STDEVP function


MovingSTDEVP

Updated: 31 Oct 2012


Use MovingSTDEVP to calculate the population standard deviation of column values in an ordered resultant table, without the need for a self-join. The population standard deviation 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].[MovingSTDEVP](
  <@Val, float,>
 ,<@Offset, int,>
 ,<@RowNum, int,>
 ,<@Id, tinyint,>)
GO
Arguments
@Val
the value passed into the function. @Val 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 MovingSTDEV calculation. @Id allows you to specify multiple MovingSTDEV 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.
·         To calculate moving standard deviations from the beginning of a dataset or a partition, use the RunningSTDEVP function.
·         If @RowNum is equal to 1, MovingSTDEVP is equal to zero
·         @RowNum must be in ascending order.
·         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 have 20 rows of data from a population and we want to calculate the population standard deviation for the previous 4 row and the current row in a window where the x-values are sorted in ascending order.
SELECT cast(x as money) as x
,cast(wct.MovingSTDEVP(x,4,ROW_NUMBER() OVER (ORDER BY x ASC),NULL) as money) as [STDEVP]
FROM (
      SELECT 1,85.2968 UNION ALL
      SELECT 2,88.2566 UNION ALL
      SELECT 3,100.1934 UNION ALL
      SELECT 4,116.3052 UNION ALL
      SELECT 5,109.6867 UNION ALL
      SELECT 6,130.3847 UNION ALL
      SELECT 7,76.5458 UNION ALL
      SELECT 8,99.5511 UNION ALL
      SELECT 9,101.5546 UNION ALL
      SELECT 10,114.318 UNION ALL
      SELECT 11,100.2686 UNION ALL
      SELECT 12,110.5982 UNION ALL
      SELECT 13,91.4181 UNION ALL
      SELECT 14,118.5804 UNION ALL
      SELECT 15,126.6649 UNION ALL
      SELECT 16,103.8977 UNION ALL
      SELECT 17,82.2819 UNION ALL
      SELECT 18,123.3369 UNION ALL
      SELECT 19,98.9415 UNION ALL
      SELECT 20,89.1731
      ) s(rn,x)
This produces the following result.
                    x                STDEVP
--------------------- ---------------------
              76.5458                  0.00
              82.2819                2.8681
              85.2968                3.6297
              88.2566                4.3314
              89.1731                4.5737
              91.4181                3.1804
              98.9415                4.6022
              99.5511                4.8326
             100.1934                4.6118
             100.2686                3.3628
             101.5546                0.8714
             103.8977                1.5457
             109.6867                 3.546
             110.5982                4.2089
              114.318                4.6451
             116.3052                4.2773
             118.5804                3.3621
             123.3369                4.2572
             126.6649                4.5471
             130.3847                5.1462
 
 


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