MovingCOVAR
Updated 2023-11-13 21:11:29.970000
Syntax
SELECT [westclintech].[wct].[MovingCOVAR](
<@Y, float,>
,<@X, float,>
,<@Offset, int,>
,<@RowNum, int,>
,<@Id, tinyint,>)
Description
Use the scalar function MovingCOVAR to calculate the covariance through data points in y- and x-values within a resultant table or partition, without the need for a self-join. The covariance 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.
Arguments
@Id
a unique identifier for the RunningCOVAR calculation. @Id allows you to specify multiple RunningCOVAR calculations within a resultant table. @Id is an expression of type tinyint or of a type that can be implicitly converted to tinyint.
@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.
@X
the x-value passed into the function. @X is an expression of type float or of a type that can be implicitly converted to float.
@Y
the y-value passed into the function. @Y is an expression of type float or of a type that can be implicitly converted to float.
Return Type
float
Remarks
If @Id is NULL then @Id = 0.
@RowNum must be in ascending order.
To calculate the covariance over a dataset or a partition of x- and y-values use the RunningCOVAR function.
If @RowNum = 1 then MovingCOVAR is 0.
To calculate a single covariance value for an entire set of data use the COVAR function.
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.
Examples
In this example we will calculate the covariance between square footage and house prices and sort the results square footage order, setting the offset to 5, meaning that the covariance will be calculated using the data from the current row and the 5 preceding rows. We will create a temporary table, #se, populate it with some data and then run the SELECT.
--Create the temporary table
CREATE TABLE #se
(
rn int,
id_lot int,
amt_sqft int,
amt_price int,
PRIMARY KEY (rn)
);
--Put some date in the table
INSERT INTO #se
VALUES
(1, 21783, 1147, 393918);
INSERT INTO #se
VALUES
(2, 94729, 1313, 470479);
INSERT INTO #se
VALUES
(3, 33028, 1433, 512474);
INSERT INTO #se
VALUES
(4, 59446, 1724, 610477);
INSERT INTO #se
VALUES
(5, 97646, 1162, 388196);
INSERT INTO #se
VALUES
(6, 44823, 1813, 636916);
INSERT INTO #se
VALUES
(7, 88397, 1105, 374348);
INSERT INTO #se
VALUES
(8, 13588, 1555, 559149);
INSERT INTO #se
VALUES
(9, 13891, 1775, 623900);
INSERT INTO #se
VALUES
(10, 90957, 1585, 563947);
INSERT INTO #se
VALUES
(11, 44167, 1510, 529806);
INSERT INTO #se
VALUES
(12, 75533, 1628, 592533);
INSERT INTO #se
VALUES
(13, 56812, 1145, 408634);
INSERT INTO #se
VALUES
(14, 12897, 1632, 589522);
INSERT INTO #se
VALUES
(15, 93826, 1850, 668852);
INSERT INTO #se
VALUES
(16, 74510, 1867, 633400);
INSERT INTO #se
VALUES
(17, 17262, 1587, 552178);
INSERT INTO #se
VALUES
(18, 30929, 1809, 633141);
INSERT INTO #se
VALUES
(19, 49030, 1521, 555713);
INSERT INTO #se
VALUES
(20, 33431, 1195, 434542);
--Calculate CORREL
SELECT id_lot,
amt_sqft,
amt_price,
wct.MovingCOVAR(amt_price, amt_sqft, 5, ROW_NUMBER() OVER (ORDER BY amt_sqft)
, NULL) as COVAR
FROM #se
ORDER BY amt_sqft;
--Clean up
DROP TABLE #se;
This produces the following result.
{"columns":[{"field":"id_lot","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"amt_sqft","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"amt_price","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"COVAR","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"id_lot":"88397","amt_sqft":"1105","amt_price":"374348","COVAR":"0"},{"id_lot":"56812","amt_sqft":"1145","amt_price":"408634","COVAR":"342860"},{"id_lot":"21783","amt_sqft":"1147","amt_price":"393918","COVAR":"240438.666666667"},{"id_lot":"97646","amt_sqft":"1162","amt_price":"388196","COVAR":"157500.5"},{"id_lot":"33431","amt_sqft":"1195","amt_price":"434542","COVAR":"508489.52"},{"id_lot":"94729","amt_sqft":"1313","amt_price":"470479","COVAR":"2013107.52777778"},{"id_lot":"33028","amt_sqft":"1433","amt_price":"512474","COVAR":"4587664.91666667"},{"id_lot":"44167","amt_sqft":"1510","amt_price":"529806","COVAR":"7377202.83333333"},{"id_lot":"49030","amt_sqft":"1521","amt_price":"555713","COVAR":"8034186.77777778"},{"id_lot":"13588","amt_sqft":"1555","amt_price":"559149","COVAR":"5711850.58333333"},{"id_lot":"90957","amt_sqft":"1585","amt_price":"563947","COVAR":"2915236"},{"id_lot":"17262","amt_sqft":"1587","amt_price":"552178","COVAR":"860241.916666667"},{"id_lot":"75533","amt_sqft":"1628","amt_price":"592533","COVAR":"634965.611111111"},{"id_lot":"12897","amt_sqft":"1632","amt_price":"589522","COVAR":"514731.277777778"},{"id_lot":"59446","amt_sqft":"1724","amt_price":"610477","COVAR":"1033523.5"},{"id_lot":"13891","amt_sqft":"1775","amt_price":"623900","COVAR":"1636727.08333333"},{"id_lot":"30929","amt_sqft":"1809","amt_price":"633141","COVAR":"2053910.58333333"},{"id_lot":"44823","amt_sqft":"1813","amt_price":"636916","COVAR":"1411478.02777778"},{"id_lot":"93826","amt_sqft":"1850","amt_price":"668852","COVAR":"1655476.38888889"},{"id_lot":"74510","amt_sqft":"1867","amt_price":"633400","COVAR":"625968.944444445"}]}