TS_AUTO_UNI_AR Function [Aggregate]

Syntax

TS_AUTO_UNI_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 which computed autoregressive value to return. The integer must be greater than zero, and less than or equal to ar_count.
• method – (optional) an integer identifying which method to use when computing AR coefficients, where: 0 = method of moments 1 = method of least squares (the default value) 2 = maximum likelihood.
• window-spec – TS_AUTO_UNI_AR is an OLAP function requiring an OVER () clause.

Usage

This time series function returns a double-precision floating-point number containing the autoregressive estimate. TS_AUTO_UNI_AR calls the function imsls_d_auto_uni_ar in the IMSL libraries.

IMSL mapping

The arguments of TS_AUTO_UNI_AR map to the IMSL library function imsls_d_auto_uni_ar as follows:

params = imsls_d_auto_uni_ar (n_objs, z[], maxlag, p, method, 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.
• maxlag – maps to the user-defined aggregate function argument ar_count.
• p – the output parameter, representing the number of autoregressive parameters in the model with minimum AIC.
• method – maps to the user-defined aggregate function argument method. If ar_elem is greater than p, and if your IMSL library time series function error-handling value is set to 0, Sybase IQ returns a null. If your IMSL library time series function error-handling value is set to a value other than 0, Sybase IQ displays an error message indicating that ar_elem is greater than p.

For detailed information on how the function imsls_d_auto_uni_ar 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_AUTO_UNI_AR 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_AUTO_UNI_AR(data,2,1,0) 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