The TD_ARIMAVALIDATE function produces a multilayer ART table and returns up to four result sets (layers). The layers are:
- Primary layer (ARTPRIMARY): Contains the model selection metrics.
- Secondary layer (ARTFITMETADATA): Contains the goodness-of-fit metrics.
- Tertiary layer (ARTFITRESIDUALS): Contains the residuals from the validation procedure.
- Quaternary layer (ARTMODEL): Contains the model context, which can be used for forecasting with the model.
The primary result set is retrieved by issuing a SELECT statement on the analytical result table (ART) containing the results. The secondary, tertiary, and quaternary result sets are accessed using the TD_EXTRACT_RESULTS function.
RETURNS TABLE Schema for Primary Result Set
| Name | Data Type | Description |
|---|---|---|
| derived-series-identifier | Varies | The resultant series identifier inherited from the SERIES_ID. |
| ROW_I | BIGINT | The index of the series. |
| NUM_SAMPLES | INTEGER | Total number of sample points found in each of the original, calculated, and residual series. |
| VAR_COUNT | INTEGER | Total number of parameters involved in the model. For an ARMA(p,q) model, the calculation of VAR_COUNT is p + q + 1. |
| AIC | FLOAT | The calculated Akaike Information Criteria value. The lowest value is the considered to be the best model. |
| SBIC | FLOAT | The calculated Schwarz Bayesian Information Criteria value. The lowest value is the considered to be the best model. |
| HQIC | FLOAT | The calculated Hannon Quinn Information Criteria value. The lowest value is the considered to be the best model. |
| MLR | FLOAT | The calculated Maximum Likelihood Rule value. The lowest value is the considered to be the best model. |
| MSE | FLOAT | The calculated Mean Square Error value. |
RETURNS TABLE Schema for Secondary Result Set (ARTFITMETADATA)
| Name | Data Type | Description |
|---|---|---|
| derived-series-identifier | VARCHAR | The resultant series identifier inherited from the SERIES_ID. |
| ROW_I | BIGINT | Index for ARTFITMETADATA result series. |
| NUM_SAMPLES | INTEGER | The number of sample points used to fit the model. |
| VAR_COUNT | Integer | Number of explanatory variables, including the constant, in the original regression. |
| R_SQUARE | FLOAT | The calculated R-squared value from the original and calculated values. |
| R_ADJ_SQUARE | FLOAT | The calculated adjusted R-squared value from the original and calculated values. |
| STD_ERROR | FLOAT | The standard error or deviation associated with the model. |
| STD_ERROR_DF | FLOAT | The degrees of freedom associated with the standard error calculation. |
| ME | FLOAT | The Mean Error. |
| MAE | FLOAT | The Mean Absolute Error. |
| MSE | FLOAT | The Mean Squared Error. |
| MPE | FLOAT | The Mean Percent Error. |
| MAPE | FLOAT | The Mean Absolute Percent Error. |
| F_STAT | FLOAT | The calculated F-statistic value for the ordinary least squares (OLS) regression. |
| F_STAT_P | FLOAT | The p-value corresponding to the calculated test statistic. |
| NUM_DF | INTEGER | The degrees of freedom in the numerator associated with the unexplained portion of the F-statistic. |
| DENOM_DF | INTEGER | The degrees of freedom in the denominator associated with the explained portion of the F-statistic. |
| SIGNIFICANCE_LEVEL | FLOAT | Level of significance for the test. |
| F_CRITICAL | FLOAT | The chi-squared critical value extracted from the chi-squared statistic tables. |
| F_CRITCAL_P | FLOAT | The p-value corresponding to the calculated critical value. |
| NULL_HYPOTH | VARCHAR(120) | The result of the test.
|
RETURNS TABLE Schema for Tertiary Result Set (ARTFITRESIDUALS)
| Name | Data Type | Description |
|---|---|---|
| derived-series-identifier | Varies | The resultant series identifier inherited from the SERIES_ID. |
| ROW_I | Varies | Indexing column for the multivariate output array containing the residuals. Its associated data type depends on the OUTPUT_FMT(INDEX_STYLE). If NUMERICAL_SEQUENCE is used, then the data type is BIGINT and it is incremented by 1 for each row, starting from 0. If FLOW_THROUGH is used, then the value could be a data type based on the data type of the passed-in ROW_AXIS. |
| ACTUAL_VALUE | FLOAT | The actual value of the response variable. |
| CALC_VALUE | FLOAT | The calculated value of the response variable using the model. |
| RESIDUAL | FLOAT | The difference between the calculated response value and the actual response value. |
RETURNS TABLE Schema for Quaternary Result Set (ARTMODEL)
| Name | Data Type | Description |
|---|---|---|
| derived-series-identifier | VARCHAR | The resultant series identifier inherited from the SERIES_ID. |
| ROW_I | BIGINT | The model row number. Used to support model sizes larger than 32000 bytes |
| MODEL_DATA | VARBYTE (32000) | Model context in binary form. |