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.

SELECT [Example].[wct].[MovingVAR](

<@Val, float,>

,<@Offset, int,>

,<@RowNum, int,>

,<@Id, tinyint,>)

GO

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]

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