1.0 - 8.00 - VARMAX Example 4: All Models - Teradata Vantage

Teradata® Vantage Machine Learning Engine Analytic Function Reference

Product
Teradata Vantage
Release Number
1.0
8.00
Release Date
May 2019
Content Type
Programming Reference
Publication ID
B700-4003-098K
Language
English (United States)

This is a comprehensive model that includes all the possible model types (Autoregressive, Exogenous, Seasonal and Moving Average) for prediction.

Input

SQL Call

SELECT * FROM VARMAX (
  ON finance_data3 AS "data" PARTITION BY id ORDER BY period
  USING
  ResponseColumns ('expenditure')
  ExogenousColumns ('income', 'investment')
  PartitionColumns ('id')
  PDQ ('1, 1, 1')
  SeasonalPDQ ('1, 0, 0')
  Period (4)
  Lag (3)
  ExogenousOrder (3)
  IncludeMean ('false')
  StepAhead (3)
) AS dt ORDER BY id;

Output

id coef coef_value stepahead predict_expenditure
1 coef 1, 1, 1, 1, 0, 0, 3    
1 ar_params [[-0.08614401327519393]]    
1 ma_params [[-0.1680269481962965]]    
1 exogenous_params [[0.14203710879699824, -0.5781265904163024]], [[4.346857849907079, -3.6811357032482723]], [[1.5837616273557507, 1.6939228988751796]]    
1 seasonal_ar_params [[-1.774477167876499]]    
1 seasonal_ma_params      
1 period 4    
1 lag 3    
1 sigma [[21676.58531469003]]    
1 aic 10.445526400752035    
1 bic 10.829425242166568    
1 iterations 20    
1 converged true    
1     1 3943.92757311105
1     2 5935.79783027663
1     3 5949.27104339776
2 coef 1, 1, 1, 1, 0, 0, 3    
2 ar_params [[0.7116543185119842]]    
2 ma_params [[0.7409842225080137]]    
2 exogenous_params [[-1.3036705963984643, 3.539286250241028]], [[4.598852419341966, 0.24549009988380754]], [[-1.665252032620963, -4.712566452061846]]    
2 seasonal_ar_params [[-5.409614969849707]]    
2 seasonal_ma_params      
2 period 4    
2 lag 3    
2 sigma [[36921.803548309304]]    
2 aic 10.97809599913301    
2 bic 11.361994840547544    
2 iterations 53    
2 converged true    
2     1 1684.98113900396
2     2 1678.10798395172
2     3 1737.6262526761
3 coef 1, 1, 1, 1, 0, 0, 3    
3 ar_params [[0.254361642305569]]    
3 ma_params [[0.1001575083196238]]    
3 exogenous_params [[0.29320016884259, -0.7088197800884475]], [[0.029695938455021133, 0.3298987004589782]], [[0.552628701381863, -1.4286270925970472]]    
3 seasonal_ar_params [[-0.1780611965952543]]    
3 seasonal_ma_params      
3 period 4    
3 lag 3    
3 sigma [[2.333553926057712E-18]]    
3 aic -38.962775641871566    
3 bic -38.63722496412744    
3 iterations 20    
3 converged true    
3     1 2323.20886314076
3     2 2393.45004194531
3     3 2374.68753995705