MovingVARP
Updated: 31 Oct 2012
Use MovingVARP to calculate the population variance of column values in an ordered resultant table, without the need for a self-join. The population 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].[MovingVARP](
<@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 population variance 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 MovingVARP calculation. @Id allows you to specify multiple MovingVARP 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 population variance from the beginning as a dataset or a partition, use the RunningVARP function.
· If @RowNum is equal to 1, MovingVARP 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 variance for the previous 4 rows 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.MovingVARP(x,4,ROW_NUMBER() OVER (ORDER BY x ASC),NULL) as money) as [VARP]
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 VARP
--------------------- ---------------------
76.5458 0.00
82.2819 8.2257
85.2968 13.1747
88.2566 18.7608
89.1731 20.919
91.4181 10.1151
98.9415 21.18
99.5511 23.3541
100.1934 21.2686
100.2686 11.3087
101.5546 0.7593
103.8977 2.3892
109.6867 12.5745
110.5982 17.7149
114.318 21.5768
116.3052 18.2951
118.5804 11.3039
123.3369 18.124
126.6649 20.6763
130.3847 26.4834