Calculates the exact maximum likelihood estimation of the
parameters in a univariate ARMA (autoregressive moving average)
time series model, and returns the requested moving average estimate.
Syntax
TS_MAX_ARMA_MA (timeseries_expression, ma_count, ma_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.
- ma_count – an integer containing the number of auto-regressive values
to compute.
- ma_elem – an integer specifying element in the computed moving average array
to return. The integer must be greater than zero, and less than
or equal to ma_count.
- window-spec – TS_MAX_ARMA_MA is an OLAP function
requiring an OVER () clause.
Usage
This function returns double-precision floating-point value
containing the autoregressive estimate. TS_MAX_ARMA_MA calls
the function imsls_d_max_arma in
the IMSL libraries.
IMSL Mapping
The arguments of TS_MAX_ARMA_MA map
to the IMSL library function imsls_d_max_arma as
follows:
params = imsls_d_max_arma(n_objs, z[], p, q, 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 – maps to the TS_MAX_ARMA_MA argument ma_count.
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_MA function and the
data values returned by the function. This example uses the example input data
table (called DATASET) as its input data.
The following SQL statement returns the moving average of
the maximum likelihood estimation on data from the
data column:
select ts_max_arma_ma(data,5,4) 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:
Values Returned from TS_MAX_ARMA_MA|
res
|
|---|
|
-0.035006
|
|
-0.035006
|
|
-0.035006
|
|
-0.035006
|
|
-0.035006
|
|
-0.035006
|
|
-0.035006
|
|
-0.035006
|
|
-0.035006
|
|
-0.035006
|
|
...
|
|
-0.035006
|
Standards and Compatibility
- SQL – ISO/ANSI SQL compliant
- Sybase – not compatible with SQL Anywhere or Adaptive Server Enterprise