在SQL Server中計算滾動平均值

Question

我目前正在嘗試計算SQL Server中數據表的滾動平均值。

的公式如下：

Set R = Number of preceding/rolling months to perform the average over 
Set Result = 1 
For each month in the set of data 
    Result *= 1 - ItemValue 
End For 
Result = 1 - POWER(Result, 12/R) 

的數據看起來像這樣：

TheDate  ItemValue 
2013-04-30 0.
2013-05-31 0.0216088580 
2013-06-30 0.0087388750 
2013-07-31 0.0155987010 
2013-08-31 0.0237148940 
2013-09-30 0.0258031340 
2013-10-31 0.0210051110 
2013-11-30 0.0175884900 

對於3的R，我期望的結果爲這是：

TheDate  Result 
2013-06-30 0.158315085 
2013-07-31 0.169210386 
2013-08-31 0.176340587 
2013-09-30 0.231608981 
2013-10-31 0.248350685 
2013-11-30 0.229305289 

爲此，我想我可以創建一個TABLE類型來將前面3個日期傳遞給一個函數，該函數需要用戶定義ed表類型。

CREATE TYPE core.udtRollingAverage AS TABLE 
(
    Value numeric(18,10) 
) 

然後創建了一個功能通過行基礎上的行執行計算：

ALTER FUNCTION dbo.CalculateRollingAverage(@RollingAverageTable core.udtRollingAverage READONLY) 
    RETURNS numeric(18,10) 
    AS 
    BEGIN 
    DECLARE @Result numeric(18,10) = 1; 
    DECLARE @Count int = (SELECT COUNT(*) FROM @RollingAverageTable); 
    SELECT @Result = @Result*(1-Value) 
    FROM @RollingAverageTable 

    SET @Result = 1 - POWER(@Result, 12/@Count) 

    return @Result 
    END 

對於單個試驗的情況下，它返回正確的結果：

DECLARE @MyTable AS core.udtRollingAverage 
    INSERT INTO @MyTable(Value) 
    VALUES(0.),(0.021608858),(0.008738875); 
    SELECT dbo.CalculateRollingAverage(@MyTable) 
    --returns 0.1583150855 

最後，我試圖將嵌套選擇傳遞給用戶定義的數據類型：

DECLARE @R int = 3 
    SELECT data_date, dbo.CalculateRollingAverage(
    (SELECT TOP (@R) ItemValue 
    FROM dbo.MySourceTable 
    ORDER BY TheDate DESC 
    ) 
) AS Result 
    FROM dbo.MySourceTable 

不幸的是，它抱怨說：

Operand type clash: numeric is incompatible with udtRollingAverage 

我可以有一個前/滾動月份值高達12

有誰知道我怎樣才能得到它返回我想在結果高效的方式？

Answer 1

爲了您的平均值計算你正在服用的價值(1 - Item Value)乘幾行

的這是逸岸一樣EXP (SUM (LOG (value)))

-- Sample Data 
declare @tbl table (TheDate date, ItemValue decimal(18,10)) 
insert into @tbl select '2013-04-30', 0.
insert into @tbl select '2013-05-31', 0.0216088580 
insert into @tbl select '2013-06-30', 0.0087388750 
insert into @tbl select '2013-07-31', 0.0155987010 
insert into @tbl select '2013-08-31', 0.0237148940 
insert into @tbl select '2013-09-30', 0.0258031340 
insert into @tbl select '2013-10-31', 0.0210051110 
insert into @tbl select '2013-11-30', 0.0175884900 

DECLARE @R int = 3 

-- The Query 
; with 
cte as 
(
    select rn = row_number() over (order by TheDate), * 
    from @tbl t 
) 
select * 
from cte c 
    cross apply 
    (
     select ItemValue = 1 - POWER(EXP(SUM(LOG(1 - ItemValue))), 12.0/@R) 
     from cte x 
     where x.rn > c.rn - 3 
     and x.rn <= c.rn 
    ) a 
where c.rn >= @R 
order by c.rn 

-- Result 
3 2013-06-30 0.0087388750 0.158315084614417 
4 2013-07-31 0.0155987010 0.16921038571785 
5 2013-08-31 0.0237148940 0.176340587438388 
6 2013-09-30 0.0258031340 0.231608980685967 
7 2013-10-31 0.0210051110 0.248350685229337 
8 2013-11-30 0.0175884900 0.229305288880144