Performs the lack-of-fit test for a univariate time series. This function is identical to TS_LACK_OF_FIT, except that TS_LACK_OF_FIT_P returns the p-value of q, rather than returning q.
TS_LACK_OF_FIT_P (timeseries_expression, p_value, q_value, lagmax, [tolerance])
OVER (window-spec)
This function returns a double-precision floating-point value containing the p-value of the lack-of-fit statistic (q) for the time series. TS_LACK_OF_FIT_P calls the function imsls_d_lack_of_fit in the IMSL libraries.
The arguments of TS_LACK_OF_FIT_P 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);
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.
This example shows a SQL statement containing the TS_LACK_OF_FIT_P 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_p(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: