![TS_ARMA_CONST function [Time Series]](arrow-left.gif){kind=icon}
![TS_AUTOCORRELATION function [Time Series]](arrow-right.gif){kind=icon}
This function is available only with RAP – The Trading Edition Enterprise.
Calculates the least-square estimates of parameters for an autoregressive moving average (ARMA) model, and returns the requested moving average estimate.
TS_ARMA_MA (timeseries_expression, ma_count, ma_elem, method)
OVER (window-spec)
timeseries_expression A numeric expression, generally a column name, containing an element in a time series.
ma_count An integer containing the number of autoregressive values to compute.
ma_elem An integer identifying the element to return from the computed moving average array. The integer must be greater than 0 and less than or equal to ma_count.
method (Optional) An integer identifying the procedure to use to calculate estimates. 0 (the default value) = method of least squares and 1 = method of moments.
window-spec TS_ARMA_MA is an OLAP function requiring an OVER () clause.
This time series function returns a double-precision floating-point value representing the moving average estimate. TS_ARMA_MA calls the function imsls_d_arma in the IMSL libraries.
The arguments of TS_ARMA_MA map to the IMSL library function imsls_d_arma as follows:
params = imsls_d_arma(n_objs, z, p, q, method_id, 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.
q Maps to the user-defined aggregate function argument ma_count.
method_id Maps to the method argument of TS_ARMA_MA.
For detailed information on how the function imsls_d_arma performs time series calculations, see IMSL Numerical Library User’s Guide: Volume 2 of 2 C Stat Library.
This example shows an input data table, a SQL statement containing the TS_ARMA_MA function, and the data values returned by the function. This example uses the following table (called DATASET) as its input data. The DATASET table contains 50 rows of time series data:
rownum |
data |
|---|---|
1 |
0.315523 |
2 |
0.485859 |
3 |
0.676886 |
4 |
1.97381 |
5 |
2.77555 |
6 |
2.73657 |
7 |
2.64233 |
8 |
4.26118 |
9 |
3.13641 |
10 |
4.16566 |
11 |
2.95952 |
12 |
2.14504 |
13 |
1.98799 |
14 |
0.805859 |
15 |
0.833405 |
16 |
2.29075 |
17 |
1.30045 |
18 |
0.467122 |
19 |
-0.170107 |
20 |
-0.256657 |
21 |
-0.382597 |
22 |
-0.505511 |
23 |
-1.90147 |
24 |
-0.981688 |
25 |
-1.43116 |
26 |
-1.39389 |
27 |
-2.34823 |
28 |
-2.91122 |
29 |
-0.927423 |
30 |
-0.044383 |
31 |
-0.389648 |
32 |
0.545008 |
33 |
0.614096 |
34 |
0.364668 |
35 |
1.16043 |
36 |
-0.654063 |
37 |
0.616094 |
38 |
2.00875 |
39 |
1.86696 |
40 |
2.80171 |
41 |
3.78422 |
42 |
4.11499 |
43 |
2.77188 |
44 |
4.00312 |
45 |
4.21298 |
46 |
5.00413 |
47 |
4.74498 |
48 |
4.89621 |
49 |
3.93273 |
50 |
4.31592 |
The following SQL statement returns the first element of an array containing one element from the data column using the method of least squares:
SELECT TS_ARMA_MA(data,1,1,0) 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:
res |
|---|
0.105075 |
0.105075 |
0.105075 |
0.105075 |
0.105075 |
0.105075 |
0.105075 |
0.105075 |
0.105075 |
... |
0.105075 |
Chapter 2, “Using OLAP” in the System Administration Guide: Volume 2
IMSL Numerical Library User’s Guide: Volume 2 of 2 C Stat Library
