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January 2012 Blog Posts

How to calculate the covariance in T-SQL

DECLARE @Sample TABLE         (             x INT NOT NULL,             y INT NOT NULL         ) INSERT  @Sample VALUES  (3, 9),         (2, 7),         (4, 12),         (5, 15),         (6, 17) ;WITH cteSource(x, xAvg, y, yAvg, n) AS (         SELECT  1E * x,                 AVG(1E * x) OVER (PARTITION BY (SELECT NULL)),                 1E * y,                 AVG(1E * y) OVER (PARTITION BY (SELECT NULL)),                 COUNT(*) OVER (PARTITION BY (SELECT NULL))         FROM    @Sample ) SELECT  SUM((x - xAvg) *(y - yAvg)) / MAX(n) AS [COVAR(x,y)] FROM    cteSource

posted @ Wednesday, January 18, 2012 1:01 PM | Feedback (1) | Filed Under [ Optimization SQL Server 2008 Algorithms SQL Server 2005 SQL Server 2000 Denali ]

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