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XLeratorDB/windowing Documentation

SQL Server moving VAR function


MovingVAR

Updated: 31 Oct 2012


Use MovingVAR to calculate the sample variance of column values in an ordered resultant table, without the need for a self-join. The sample variance 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].[MovingVAR](
  <@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 MovingVAR calculation. @Id allows you to specify multiple MovingVAR 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 the running sample variance from the beginning of a dataset or a partition, use the RunningVAR function.
·         If @RowNum is equal to 1, MovingVAR is equal to NULL
·         @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 sample data from a population with a mean of 100 and a standard deviation of 15 and we want to calculate the sample variance 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.MovingVAR(x,4,ROW_NUMBER() OVER (ORDER BY x ASC),NULL) as money) as [VAR]
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                   VAR
--------------------- ---------------------
              76.5458                  NULL
              82.2819               16.4514
              85.2968               19.7621
              88.2566               25.0144
              89.1731               26.1488
              91.4181               12.6438
              98.9415                26.475
              99.5511               29.1926
             100.1934               26.5858
             100.2686               14.1359
             101.5546                0.9491
             103.8977                2.9864
             109.6867               15.7181
             110.5982               22.1437
              114.318                26.971
             116.3052               22.8689
             118.5804               14.1299
             123.3369                22.655
             126.6649               25.8454
             130.3847               33.1043
 


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