TS_MAX_ARMA_LIKELIHOOD Function [Aggregate]

Syntax

TS_MAX_ARMA_LIKELIHOOD (timeseries_expression)

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.
• window-spec – TS_MAX_ARMA_LIKELIHOOD is an OLAP function requiring an OVER () clause.

Usage

This function returns a double-precision floating-point value containing the value of -2*(ln(likelihood)). TS_MAX_ARMA_LIKELIHOOD calls the function imsls_d_max_arma in the IMSL libraries.

IMSL mapping

The arguments of TS_MAX_ARMA_LIKELIHOOD map to the IMSL library function imsls_d_max_arma as follows:

params = imsls_d_max_arma(n_objs, z, p, q, IMSLS_LOG_LIKELIHOOD, &likelihood, 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 – = 1.
• q – = 1.
• likelihood – provided by the function call. Contains the log likelihood result.

For detailed information on how the IMSL function imsls_d_max_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_MAX_ARMA_LIKELIHOOD 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_max_arma_likelihood(data) 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