TD_ARIMAXESTIMATE Output - Teradata Vantage

Database Unbounded Array Framework Time Series Functions

Deployment
VantageCloud
VantageCore
Edition
Enterprise
IntelliFlex
VMware
Product
Teradata Vantage
Release Number
17.20
Published
June 2022
Language
English (United States)
Last Update
2024-10-04
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lifecycle
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This function outputs a result set that contains the estimated coefficients with accompanying per-coefficient statistical ratings. This result set is retrieved by issuing a SELECT against the ART.

The function can output a secondary (ARTFITMETADATA) result set with goodness-of-fit metadata, a tertiary (ARTFITRESIDUALS) result set with residuals from the fitting operation, a quaternary (ARTMODEL) result set with validation model context, and a quinary (ARTVALDATA) result set with the validation series. These result sets are retrieved directly using the TD_EXTRACT_RESULTS function. Additionally, the residuals can be indirectly referenced by passing the ART name into a UAF function that requires the residual series as an input.

RETURNS TABLE Schema for Primary Result Set

Name Data Type Description
derived-series-identifier Varies The resultant series identifying the field list.
INDEX INTEGER An integer index that identifies the coefficient. Index of 1 corresponds to the constant coefficient. Other indices associated with coefficients in accordance to order in which they appeared in the formula.
COEFF_NAME VARCHAR(64) CHARACTER SET UNICODE Name of the coefficient.
COEFF_VALUE FLOAT The calculated value of the coefficient in the fitted model.
STD_ERROR FLOAT The standard error associated with the calculated value for that coefficient. Only returned if COEFF_STATS(1).
ZSTAT_VALUE FLOAT The z-statistic associated with the calculated value for that coefficient. Purpose is to determine how significant a given coefficient is, relative to a statistical value of 0. Only returned if COEFF_STATS(1).
ZSTAT_PROB FLOAT The probability associated with the z-statistic. It is the probability of obtaining an absolute value of z as large as the one that was calculated for the data, if the coefficient is 0. Only returned if COEFF_STATS(1).

RETURNS TABLE Schema for Secondary Result Set

Name Data Type Description
derived-series-identifier Varies The resultant series identifying the field list.
NUM_SAMPLES Integer Total number of sample points found in each of the original, calculated, and residual series.
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_CALC FLOAT The calculated F-statistic value for the ordinary least squares (OLS) regression.
P_VALUE FLOAT The p-value corresponding to the calculated test statistic.
NUM_DF FLOAT The degrees of freedom in the numerator associated with the unexplained portion of the F-statistic.
DENOM_DF FLOAT The degrees of freedom in the denominator associated with the explained portion of the F-statistic.
SIGNIFICANCE_LAYER 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(16) The result of the test.
  • ACCEPT means the null hypothesis is accepted, and there is no serial correlation evident.
  • REJECT means the null hypothesis is rejected, and there is evidence of serial correlation.

RETURNS TABLE Schema for Tertiary Result Set

Name Data Type Description
derived-series-identifier Varies The resultant series identifying the field list.
ROW_I Varies Indexing column for the one dimensional multivariate output array containing the residuals. It is incremented by 1 for each row, starting from 1. The value could be another data type based on the flowthrough feature.
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

Name Data Type Description
derived-series-identifier Varies The resultant series identifying the field list.
ROW_I Integer The model row number.
MODEL_DATA VARBYTE (64000) Model context in binary form.

RETURNS TABLE Schema for Quinary Result Set

Name Data Type Description
derived-series-identifier Varies The resultant series identifying the field list.
ROW_I Varies Indexing column for the output array. The value could be another data type based on the flowthrough feature.
VAL_ACTUAL_VALUE FLOAT The unused sample data actual value.
VAL_CALC_VALUE FLOAT The unused sample data fitted value.
VAL_RESIDUAL FLOAT The unused sample data residuals.