Input
- finance_data3, as in VARMAX Example: No Exogenous Model
SQL Call
Seasonal modeling are specified by the Period and SeasonalPDQ syntax elements.
SELECT * FROM VARMAX (
ON finance_data3 AS InputTable PARTITION BY id ORDER BY period
USING
TargetColumns ('expenditure', 'income', 'investment')
PartitionColumns ('id')
PDQ ('1,1,1')
SeasonalPDQ ('1,0,0')
Period (4)
IncludeMean ('false')
StepAhead (3)
) AS dt ORDER BY id;
Output
id coef coef_value stepahead predict_expenditure predict_income predict_investment -- ------------------ ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ --------- ------------------- ------------------ ------------------ 1 ma_params [[0.047161415589433306, -1.906043453002955, 1.0468038966218294],[-0.13240014325688745, -1.718397893417201, 1.39178874725834],[0.0037687548122121994, -0.5051382020273312, -0.15314353469864087]] NULL NULL NULL NULL 1 aic 25.32292860210836 NULL NULL NULL NULL 1 converged true NULL NULL NULL NULL 1 seasonal_ar_params [[-0.16845518629067494, 1.6244951628223803, -1.919050728871083],[1.3604369899583515, 2.3278614226936565, -3.096311206806939],[0.692982567095393, 0.6025475118342052, -1.7567031588496334]] NULL NULL NULL NULL 1 sigma [[8507.086753280108, 9128.51276469664, 1501.0110439314783],[9128.51276469664, 10931.74025041702, 1877.8340370539074],[1501.0110439314783, 1877.8340370539074, 2903.7551352984965]] NULL NULL NULL NULL 1 period 4 NULL NULL NULL NULL 1 bic 26.474625126351963 NULL NULL NULL NULL 1 NULL NULL 3 2261.66509463083 4805.075647611341 -85.65885437898675 1 NULL NULL 1 3008.4122472417243 5243.487089399085 1593.0015737498193 1 coef 1, 1, 1, 1, 0, 0, 0 NULL NULL NULL NULL 1 seasonal_ma_params NULL NULL NULL NULL NULL 1 exogenous_params NULL NULL NULL NULL NULL 1 iterations 90 NULL NULL NULL NULL 1 NULL NULL 2 3139.7419274225804 4677.14682761945 -160.6000488318316 1 lag 0 NULL NULL NULL NULL 1 ar_params [[0.6749792690680297, 0.09241813288404432, 0.5484884989127043],[1.0839981966998173, -0.23542155358055403, 0.14231078552096657],[1.2894538111710467, -0.9457973261338974, 0.38673451989311164]] NULL NULL NULL NULL 2 ma_params [[-1.5756434415526015, 1.630187686487473, 2.1347097874729792],[-1.9435395521265888, 1.873384498811412, 2.6763882969664268],[-0.933312508854108, 0.49480536089543276, 1.590592606432673]] NULL NULL NULL NULL 2 seasonal_ar_params [[-2.973968196921355, 2.9573715910806713, -1.4339914670174523],[-3.1805599462697067, 3.3167662120040973, -2.1174689799806643],[-2.035395283487158, 1.2767914660698918, 1.2383397778611864]] NULL NULL NULL NULL 2 seasonal_ma_params NULL NULL NULL NULL NULL 2 period 4 NULL NULL NULL NULL 2 sigma [[10013.563226714596, 10328.92305258156, 2522.651762868327],[10328.92305258156, 13660.58770687717, 3586.0393410620686],[2522.651762868327, 3586.0393410620686, 4065.2136506535103]] NULL NULL NULL NULL 2 aic 26.6464291226334 NULL NULL NULL NULL 2 bic 27.798125646877004 NULL NULL NULL NULL 2 iterations 100 NULL NULL NULL NULL 2 converged false NULL NULL NULL NULL 2 NULL NULL 1 1886.5914476963292 2222.789211779163 728.0400718629573 2 NULL NULL 2 1903.2071472190191 2210.4430886478253 746.9419150917527 2 NULL NULL 3 1932.9016081238367 2310.3080468286544 755.5631886642103 2 lag 0 NULL NULL NULL NULL 2 exogenous_params NULL NULL NULL NULL NULL 2 ar_params [[-1.6168918787094855, 1.3975465858808604, -0.02967704587502138],[-0.6136719639019782, 0.6245910144797986, -0.004323898456822209],[-0.10656699187624753, -0.0041473039543114066, 0.2760541617316411]] NULL NULL NULL NULL 2 coef 1, 1, 1, 1, 0, 0, 0 NULL NULL NULL NULL 3 NULL NULL 1 2286.73827930903 2666.389925343694 846.6929154260399 3 converged false NULL NULL NULL NULL 3 iterations 100 NULL NULL NULL NULL 3 aic -44.60965861168598 NULL NULL NULL NULL 3 sigma [[7.526043504203248E-8, -5.613039588268464E-8, 3.493979116954864E-8],[-5.613039588268464E-8, 1.6041066073702722E-7, -1.1143252721740114E-7],[3.493979116954864E-8, -1.1143252721740114E-7, 1.1268415707165419E-7]] NULL NULL NULL NULL 3 lag 0 NULL NULL NULL NULL 3 bic -43.63300657845361 NULL NULL NULL NULL 3 period 4 NULL NULL NULL NULL 3 seasonal_ma_params NULL NULL NULL NULL NULL 3 seasonal_ar_params [[-0.2101429741884885, 0.2796383976301956, -0.22814036733111545],[0.39208495397322296, -0.18940564549948544, -0.2544806668877057],[0.4733053379224758, -0.2671558233963303, -0.22331382713353207]] NULL NULL NULL NULL 3 exogenous_params NULL NULL NULL NULL NULL 3 NULL NULL 2 2275.0386892095153 2674.72073694218 859.8962665935035 3 ma_params [[0.4727104594654274, -0.4088587225958212, 0.2525235211650897],[-0.312645520932563, 0.33960805201909594, 0.23370759611826677],[0.4471490198322245, -0.4664238983816184, -0.24726031377126428]] NULL NULL NULL NULL 3 ar_params [[1.2942647874597708, -0.9582895919745037, -0.3611398899762283],[0.8491941789939056, 0.13426472552340252, 0.10004993633165297],[-1.3595901466064593, 0.1927208494956761, 0.5089697698633536]] NULL NULL NULL NULL 3 coef 1, 1, 1, 1, 0, 0, 0 NULL NULL NULL NULL 3 NULL NULL 3 2245.3218790410156 2677.8225099270294 864.8036704818687
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