TS_LACK_OF_FIT Function [Aggregate]

Syntax

TS_LACK_OF_FIT (timeseries_expression, p_value, q_value, lagmax, [tolerance])

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.
• p_value – an integer containing the number of autoregressive parameters.
• q_value – an integer containing the number of moving average parameters.
• lagmax – an integer containing the maximum lag of the correlation function.
• tolerance – (optional) A floating-point value level used to determine convergence of the nonlinear least-squares algorithm. The default value is 0.
• window-spec – TS_LACK_OF_FIT is an OLAP function requiring an OVER () clause.

Usage

This function returns a double-precision floating-point value containing the lack-of-fit statistic (q) for the time series. TS_LACK_OF_FIT calls the function imsls_d_lack_of_fit in the IMSL libraries.

IMSL Mapping

The arguments of TS_LACK_OF_FIT map to the IMSL library function imsls_d_lack_of_fit as follows:

params = imsls_d_arma(n_objs, z[], p, q,	IMSLS_LEAST_SQUARES,	IMSLS_CONVERGENCE_TOLERANCE, tolerance,	IMSL_RESIDUAL, &residual, 0);correlations = imsls_d_autocorrelation(n_objs-p+lagmax, residuals, lagmax, 0);result = imsls_d_lack_of_fit(n_objs, correlations, lagmax, npfree, 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 p_value argument defined in TS_LACK_OF_FIT.
• q – maps to the q_value argument defined in TS_LACK_OF_FIT.
• lagmax – maps to the lagmax argument defined in TS_LACK_OF_FIT.
• npfree – derived from p + q.
• tolerance – an optional argument using IMSLS_CONVERGENCE_TOLERANCE. If null, the IMSL library applies a default value and does not use IMSLS_CONVERGENCE_TOLERANCE.

  For detailed information on how the IMSL function imsls_d_lack_of_fit 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_LACK_OF_FIT function and the data values returned by the function. This example uses the example input data table (called DATASET) as its input data.

select ts_lack_of_fit(data,1,1,5,0.225) 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