TS_AUTOCORRELATION Function [Aggregate]

Syntax

TS_AUTOCORRELATION (timeseries_expression, lagmax, lag_elem)

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.
• lagmax – an integer specifying the maximum lag of autocovariances, autocorrelations, and standard errors of autocorrelations. The integer must be greater than or equal to 1, and less than the number of elements in the time series.
• lag_elem – an integer specifying which element in the autocorrelation array is to be returned. The integer must be greater than zero, and less than or equal to lagmax.
• window-spec – TS_AUTOCORRELATION is an OLAP function requiring an OVER () clause.

Usage

This time series function returns a double-precision floating-point value representing the autocorrelation value. TS_AUTOCORRELATION calls the function imsls_d_autocorrelation in the IMSL libraries.

IMSL Mapping

The arguments of TS_AUTOCORRELATION map to the IMSL library function imsls_d_autocorrelation() as follows:

params = imsls_d_autocorrelation(n_objs, x[], lagmax, 0);

• n_objs – contains the number of rows in the current window frame.
• x[] – contains the value of timeseries_expression for the current window frame.
• lagmax – maps to the user-defined aggregate function argument lag_max.

For detailed information on how the function imsls_d_autocorrelation 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_AUTOCORRELATION 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_AUTOCORRELATION(data,2,2) 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