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.
the value passed into the function. @Val is an expression of type float or of a type that can be implicitly converted to float.
specifies the window size. @Offset is an expression of type int or of a type that can be implicitly converted to int.
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.
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.
· 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.
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]
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
This produces the following result.