TS_ARMA_AR Function [Aggregate]

Syntax

TS_ARMA_AR (timeseries_expression, ar_count, ar_elem, method)

OVER (window-spec)

Licensing prerequisites

Available only with RAP – The Trading Edition Enterprise.

Parameters

• timeseries_expression – a numeric expression, generally a column name, containing an element in a time series.
• ar_count – an integer containing the number of autoregressive values to compute.
• ar_elem – an integer identifying the element in the computed AR array that should be returned. ar_elem must be greater than 0 and less than or equal to ar_count.
• method – (optional) an integer that identifies the type of procedure used to compute estimates. 0 (the default value) = method of least squares; 1 = method of moments.
• window-spec – TS_ARMA_AR is an OLAP function requiring an OVER () clause.

Usage

TS_ARMA_AR time series function returns a double-precision floating-point value containing the autoregressive estimate. TS_ARMA_AR calls the function imsls_d_arma in the IMSL libraries.

IMSL mapping

The arguments of TS_ARMA_AR map to the IMSL library function imsls_d_arma as follows:

params = imsls_d_arma(n_objs, z, p, q, methodID, 0);

• n_objs – contains the number of rows in the current window frame.
• z[] – contains the value of timeseries_expression for the current window frame.
• p – maps to the user-defined aggregate function argument ar_count.
• q – =1.
• methodID – maps to the method argument of TS_ARMA_AR. Can be set to either IMSLS_METHOD_OF_MOMENTS or IMSLS_LEAST_SQUARES.

For detailed information on how imsls_d_arma performs time series calculations, see IMSL C Numerical Library User’s Guide: Volume 2 of 2 C Stat Library.

Example

This example shows a SQL statement containing the TS_ARMA_AR function, and the data values returned by the function. This example uses the example input data table (called DATASET) as its input data. See DATASET example input data.

SELECT TS_ARMA_AR(data,1,1,0) OVER (ORDER BY rownum ROWS BETWEEN UNBOUNDED PRECEDING AND UNBOUNDED FOLLOWING) AS res FROM DATASET

Sybase IQ returns 50 rows, each containing the same value:

Standards and compatibility

• SQL – ISO/ANSI SQL compliant
• Sybase – not compatible with SQL Anywhere or Adaptive Server Enterprise

See also

System Administration Guide: Volume 2 > Using OLAP

IMSL C Numerical Library User’s Guide: Volume 2 of 2 C Stat Library