SQL Server RunningCOVAR Function

Updated 2023-11-14 14:34:52.970000

Description

Use the scalar function to calculate the covariance through data points in y- and x-values within a resultant table or partition, without the need for a self-join. The covariance is calculated from the first row of the resultant table or partition through to the current row. If the column values are presented to the functions out of order, an error message will be generated.

Syntax

SELECT [westclintech].[wct].[RunningCOVAR](
  <@Y, float,>
 ,<@X, float,>
 ,<@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.

@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 RunningCOVAR calculation. @Id allows you to specify multiple RunningCOVAR 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 covariance over a window of x- and y-values use the MovingCOVAR function.

If @RowNum = 1 then RunningCOVAR is NULL.

To calculate a single covariance value for an entire set of data use the COVAR 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 covariance between square footage and house prices. We will create a temporary table, #se, populate it with some data and then run the SELECT.

SET NOCOUNT ON;
--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 CORREL
SELECT rn,
       id_lot,
       amt_sqft,
       amt_price,
       wct.RunningCOVAR(amt_price, amt_sqft, ROW_NUMBER() OVER (ORDER BY rn), 
                 NULL) as CORREL
FROM #se;
--Clean up
DROP TABLE #se;

This produces the following result.