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. See DATASET example 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

See also

System Administration Guide: Volume 2 > Using OLAP

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