RunningSTDEV
Updated: 31 Oct 2012
Use RunningSTDEV to calculate the sample standard deviation of column values in an ordered resultant table, without the need for a self-join. The standard deviation is calculated over all the values from the first value to the last value in the ordered group or partition. If the column values are presented to the functions out of order, an error message will be generated.
Syntax
SELECT [Example].[wct].[RunningSTDEV](
<@Val, float,>
,<@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.
@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 RunningSTDEV calculation. @Id allows you to specify multiple RunningSTDEV 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, use the MovingSTDEV function.
· If @RowNum is equal to 1, RunningSTDEV 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.
SELECT rn
,x
,wct.RunningSTDEV(x,rn,NULL) as [STDEV]
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.
rn x STDEV
----------- --------------------------------------- ----------------------
1 85.2968 NULL
2 88.2566 2.09289465095594
3 100.1934 7.88623591920336
4 116.3052 14.086019172688
5 109.6867 13.3585832496564
6 130.3847 17.238411164915
7 76.5458 19.0647847280317
8 99.5511 17.6575161160451
9 101.5546 16.5191247575937
10 114.3180 16.1450505878186
11 100.2686 15.3277128598674
12 110.5982 14.8220936235839
13 91.4181 14.5347368987681
14 118.5804 14.6608663518127
15 126.6649 15.3853044419388
16 103.8977 14.8647794369106
17 82.2819 15.376554425524
18 123.3369 15.648435468131
19 98.9415 15.2589544074601
20 89.1731 15.2228784743608