SQL Server RunningRSQ Function

Updated 2023-11-14 15:27:03.940000

Description

Use the scalar function RunningRSQ 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 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].[RunningRSQ](
  <@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 RunningRSQ calculation. @Id allows you to specify multiple RunningRSQ 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 a window of x- and y-values use the MovingRSQ function.

If @RowNum = 1 then RunningRSQ 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. 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 RSQ
SELECT rn,
       id_lot,
       amt_sqft,
       amt_price,
       wct.RunningRSQ(amt_price, amt_sqft, ROW_NUMBER() OVER (ORDER BY rn), NULL)
                 as RSQ
FROM #se;
--Clean up
DROP TABLE #se;

This produces the following result.