SQL Server MovingRSQ Function

Updated 2023-11-13 21:37:28.747000

Description

Use the scalar function MovingRSQ to calculate the square of the Pearson product moment correlation coefficient through data points in y- and x-values within a resultant table or partition, without the need for a self-join. The correlation coefficient is calculated for each value from the first value in the window to the last value in the window. If the column values are presented to the functions out of order, an error message will be generated.

Syntax

SELECT [westclintech].[wct].[MovingRSQ](
  <@Y, float,>
 ,<@X, float,>
 ,<@Offset, int,>
 ,<@RowNum, int,>
 ,<@Id, tinyint,>)

Arguments

@Y

the y-value passed into the function. @Y is an expression of type float or of a type that can be implicitly converted to float.

@X

the x-value passed into the function. @X is an expression of type float or of a type that can be implicitly converted to float.

@Offset

specifies the window size. @Offset is an expression of type int or of a type that can be implicitly converted to int.

@RowNum

the number of the row within the group for which the sum is being calculated. If @RowNum for the current row in a set is less than or equal to the previous @RowNum and @RowNum is not equal to 1, an error message will be generated. @RowNum is an expression of type int or of a type that can be implicitly converted to int.

@Id

a unique identifier for the MovingRSQ calculation. @Id allows you to specify multiple MovingRSQ calculations within a resultant table. @Id is an expression of type tinyint or of a type that can be implicitly converted to tinyint.

Return Type

float

Remarks

If @Id is NULL then @Id = 0.

@RowNum must be in ascending order.

To calculate the square of the correlation coefficient over an entire dateset or partition of x- and y-values use the RunningRSQ function.

If @RowNum = 1 then MovingRSQ is NULL.

To calculated a single square of the correlation coefficient value for a set of x- and y-values, use the RSQ function.

There may be cases where the order in which the data are returned to the function and the order in which the results are returned are different, generally due to parallelism. You can use OPTION(MAXDOP 1) or OPTION(MAXDOP 1,FORCE ORDER) to help eliminate this problem.

Examples

In this example we will calculate the square of the correlation coefficient in the relationship between square footage and house prices with a window of 5 rows. We will create a temporary table, #se, populate it with some data and then run the SELECT.

--Create the temporary table
CREATE TABLE #se
(
    rn int,
    id_lot int,
    amt_sqft int,
    amt_price int,
    PRIMARY KEY (rn)
);
--Put some date in the table
INSERT INTO #se
VALUES
(1, 21783, 1147, 393918);
INSERT INTO #se
VALUES
(2, 94729, 1313, 470479);
INSERT INTO #se
VALUES
(3, 33028, 1433, 512474);
INSERT INTO #se
VALUES
(4, 59446, 1724, 610477);
INSERT INTO #se
VALUES
(5, 97646, 1162, 388196);
INSERT INTO #se
VALUES
(6, 44823, 1813, 636916);
INSERT INTO #se
VALUES
(7, 88397, 1105, 374348);
INSERT INTO #se
VALUES
(8, 13588, 1555, 559149);
INSERT INTO #se
VALUES
(9, 13891, 1775, 623900);
INSERT INTO #se
VALUES
(10, 90957, 1585, 563947);
INSERT INTO #se
VALUES
(11, 44167, 1510, 529806);
INSERT INTO #se
VALUES
(12, 75533, 1628, 592533);
INSERT INTO #se
VALUES
(13, 56812, 1145, 408634);
INSERT INTO #se
VALUES
(14, 12897, 1632, 589522);
INSERT INTO #se
VALUES
(15, 93826, 1850, 668852);
INSERT INTO #se
VALUES
(16, 74510, 1867, 633400);
INSERT INTO #se
VALUES
(17, 17262, 1587, 552178);
INSERT INTO #se
VALUES
(18, 30929, 1809, 633141);
INSERT INTO #se
VALUES
(19, 49030, 1521, 555713);
INSERT INTO #se
VALUES
(20, 33431, 1195, 434542);
--Calculate RSQ
SELECT id_lot,
       amt_sqft,
       amt_price,
       wct.MovingRSQ(amt_price, amt_sqft, 4, ROW_NUMBER() OVER (ORDER BY amt_sqft)
                 , NULL) as RSQ
FROM #se
ORDER BY amt_sqft;
--Clean up
DROP TABLE #se;

This produces the following result.