使用SQL查找协变性

Question

# dt---------indx_nm1-----indx_val1-------indx_nm2------indx_val2 
2009-06-08----ABQI------1001.2------------ACNACTR----------300.05 
2009-06-09----ABQI------1002.12 ----------ACNACTR----------341.19 
2009-06-10----ABQI------1011.4------------ACNACTR----------382.93 
2009-06-11----ABQI------1015.43 ----------ACNACTR----------362.63 

我有一张看起来像^（但有数百行，从2009年到2013年）的表。是否有一种方法可以计算协方差：[（indx_val1 - avg（indx_val1））*（indx_val2 - avg（indx_val2）]除以每个值indx_val1和indx_val2（循环遍历整个表格）的总行数和通过dt为COV只返回一个简单的值（ABQI，ACNACTR）

Answer 1

既然你有过两个不同的组操作聚集，你将需要两个不同的查询。其中主要的一个组每日期，让您的行值。其他查询具有横跨整个行集执行AVG()和COUNT()聚集体。

要同时使用这两个，你需要JOIN在一起。但是，因为有两个查询之间没有实际的关系，它是一个笛卡尔乘积，我们将使用一个CROSS JOIN。实际上，该连接每行与聚集查询检索单列主查询。然后，您可以在SELECT列表进行运算，利用这两个值：

所以，从你刚才的问题查询建筑：

SELECT 
indxs.*, 
((indx_val2 - indx_val2_avg) * (indx_val1 - indx_val1_avg))/total_rows AS cv 
FROM (
    SELECT 
     dt, 
     MAX(CASE WHEN indx_nm = 'ABQI' THEN indx_nm ELSE NULL END) AS indx_nm1, 
     MAX(CASE WHEN indx_nm = 'ABQI' THEN indx_val ELSE NULL END) AS indx_val1, 
     MAX(CASE WHEN indx_nm = 'ACNACTR' THEN indx_nm ELSE NULL END) AS indx_nm2, 
     MAX(CASE WHEN indx_nm = 'ACNACTR' THEN indx_val ELSE NULL END) AS indx_val2 
    FROM table1 a 
    GROUP BY dt 
) indxs 
    CROSS JOIN (
    /* Join against a query returning the AVG() and COUNT() across all rows */ 
    SELECT 
     'ABQI' AS indx_nm1_aname, 
     AVG(CASE WHEN indx_nm = 'ABQI' THEN indx_val ELSE NULL END) AS indx_val1_avg, 
     'ACNACTR' AS indx_nm2_aname, 
     AVG(CASE WHEN indx_nm = 'ACNACTR' THEN indx_val ELSE NULL END) AS indx_val2_avg, 
     COUNT(*) AS total_rows 
    FROM table1 b 
    WHERE indx_nm IN ('ABQI','ACNACTR') 
    /* And it is a cartesian product */ 
) aggs 
WHERE 
    indx_nm1 IS NOT NULL 
    AND indx_nm2 IS NOT NULL 
ORDER BY dt 

这里有一个演示，建立在你的前面一个：http://sqlfiddle.com/#!6/2ec65/14

Answer 2

这里是一个标量值的函数，在格式化为XML的任意两个列表执行协方差计算。

测试：编译那么函数执行阿尔法测试

CREATE Function [dbo].[Covariance](@XmlTwoValueSeries xml) 
    returns float 
    as 
    Begin 
    /* 

    -- ----------- 
    -- ALPHA TEST 
    -- ----------- 
    IF object_id('tempdb..#_201610101706') is not null DROP TABLE #_201610101706 
    select * 
    into #_201610101706 
    from 
    (
     select * 
     from 
     (
      SELECT '2016-01' Period, 1.24 col0, 2.20 col1 
      union 
      SELECT '2016-02' Period, 1.6 col0, 3.20 col1 
      union 
      SELECT '2016-03' Period, 1.0 col0, 2.77 col1 
      union 
      SELECT '2016-04' Period, 1.9 col0, 2.98 col1 
     ) A 
    ) A 


    DECLARE @XmlTwoValueSeries xml 
    SET @XmlTwoValueSeries = (
    SELECT col0,col1 FROM #_201610101706 
    FOR 
    XML PATH('Output') 
    ) 

    SELECT dbo.Covariance(@XmlTwoValueSeries) Covariance 

    */ 
    declare @returnvalue numeric(20,10) 

    set @returnvalue = 
    (
     SELECT SUM((x - xAvg) *(y - yAvg))/MAX(n) AS [COVAR(x,y)] 
     from 
     (
      SELECT 1E * x x, 
        AVG(1E * x) OVER (PARTITION BY (SELECT NULL)) xAvg, 
        1E * y y, 
        AVG(1E * y) OVER (PARTITION BY (SELECT NULL)) yAvg, 
        COUNT(*) OVER (PARTITION BY (SELECT NULL)) n 
      FROM  
      (
       SELECT 
        e.c.value('(col0/text())[1]', 'float') x, 
        e.c.value('(col1/text())[1]', 'FLOAT') y 
       FROM @XmlTwoValueSeries.nodes('Output') e(c)    
      ) A 
     ) A 
    ) 
    return @returnvalue 
    end 



    GO