如何在SQL中为时间序列创建移动窗口计算? (不是平均值)

问题描述 投票:0回答:1

我正在使用数据,我需要使用一个计算,该计算应该引用前一行中先前计算的值。

例如,获取此数据集:

SELECT 
    generate_series('2015-01-01', '2019-12-01', '1 month'::interval)::date AS dates,
    generate_series(1,60) AS nums;

NULL开始有2019-03-01值。

我想在基于前一行填充它的另一列上编写计算,该计算源自同一计算。所以我尝试使用一些lag()函数。但过了一段时间它转向NULL,可能是因为之前的计算也是空的。

with
mynumbers AS (
    SELECT
        generate_series('2015-01-01', '2025-12-01', '1 month'::interval)::date AS dates,
        generate_series(1,50) AS nums),
mynumbers_lag AS (
    SELECT *, lag(nums) OVER (ORDER BY dates ASC) AS previous1
    FROM mynumbers)
SELECT dates, nums, previous1, (coalesce(nums,previous1)+lag(coalesce(nums,previous1), 5) OVER (ORDER BY dates ASC))*4 AS moving_calculation FROM mynumbers_lag;

结果开始偏离我想要的2019-03-01。我希望我的计算能够一直持续到整个表格。谁知道我怎么能做到这一点?

编辑:借用unutbu的表..我想得到这个:

|      dates | nums | previous1 | moving_calculation |
|------------+------+-----------+--------------------|
| 2015-01-01 |    1 |           |                    |
| 2015-02-01 |    2 |         1 |                    |
| 2015-03-01 |    3 |         2 |                    |
| 2015-04-01 |    4 |         3 |                    |
| 2015-05-01 |    5 |         4 |                    |
| 2015-06-01 |    6 |         5 |                 28 |
| 2015-07-01 |    7 |         6 |                 36 |
| 2015-08-01 |    8 |         7 |                 44 |
| 2015-09-01 |    9 |         8 |                 52 |
| 2015-10-01 |   10 |         9 |                 60 |
...
| 2018-12-01 |   50 |        49 |                364 |
| 2019-01-01 |   50 |        49 |                372 |
| 2019-02-01 |   50 |        49 |                380 |
| 2019-03-01 |   50 |        49 |                388 |
| 2019-04-01 |   50 |        49 |               1744 | 
| 2019-05-01 |   50 |        49 |               7172 |
| 2019-06-01 |      |           |              28888 |
| 2019-07-01 |      |           |             117104 |
| 2019-08-01 |      |           |             475392 |
| 2019-09-01 |      |           |            1930256 |

2019-04-011744是从(388+48)*4计算的。 388是先前计算的值的一个单元格,因为nums为NULL。最终,从2018-07-01开始,两个nums都是NULL,因此它将仅使用moving_calculations计算(值3807172

sql postgresql window-functions
1个回答
1
投票

moving_calculation列中的值(下面表示为m0)取决于同一列中的先前值。它们由递归关系定义。甚至可能有m0的封闭形式公式。如果您希望找到一个封闭形式的公式,您可能想在Mathematics stackexchange上提出一个问题。如果我们知道封闭形式的公式,那么在Postgresql中清楚地计算值将是轻而易举的。

但是,如果我们将此问题视为编程问题,那么我相信计算 - 如果要在Postgresql中完成 - 最容易用WITH RECURSIVE表示。计算类型感觉就像Fibonacci numbers的计算。

WITH RECURSIVE r(a, b) AS (
  SELECT 0::int, 1::int
  UNION ALL
  SELECT b, a + b FROM r WHERE b < 50
)
SELECT a, b FROM r;

产量

|  a |  b |
|----+----|
|  0 |  1 |
|  1 |  1 |
|  1 |  2 |
|  2 |  3 |
|  3 |  5 |
|  5 |  8 |
|  8 | 13 |
| 13 | 21 |
| 21 | 34 |
| 34 | 55 |

如果你理解在斐波那契例子中使用WITH RECURSIVE,那么我相信你会看到下面的解决方案只是同一个想法的延伸。

WITH RECURSIVE r(dates, nums, prev, m0, m1, m2, m3) AS (
SELECT * FROM (VALUES ('2019-02-01'::date, 50::numeric, 47::numeric, 388::numeric, NULL::numeric, NULL::numeric, NULL::numeric)) AS t1
    UNION ALL
    SELECT (dates + '1 month'::interval)::date
        , m0
        , coalesce(m3, prev+1)
        , (m0+coalesce(m3, prev+1))*4
        , m0
        , m1
        , m2
    FROM r
    WHERE dates <= '2020-01-01'
)
SELECT * FROM r

产量

|      dates |       nums |     prev |         m0 |         m1 |        m2 |        m3 |
|------------+------------+----------+------------+------------+-----------+-----------|
| 2019-02-01 |         50 |       47 |        388 |            |           |           |
| 2019-03-01 |        388 |       48 |       1744 |        388 |           |           |
| 2019-04-01 |       1744 |       49 |       7172 |       1744 |       388 |           |
| 2019-05-01 |       7172 |       50 |      28888 |       7172 |      1744 |       388 |
| 2019-06-01 |      28888 |      388 |     117104 |      28888 |      7172 |      1744 |
| 2019-07-01 |     117104 |     1744 |     475392 |     117104 |     28888 |      7172 |
| 2019-08-01 |     475392 |     7172 |    1930256 |     475392 |    117104 |     28888 |
| 2019-09-01 |    1930256 |    28888 |    7836576 |    1930256 |    475392 |    117104 |
| 2019-10-01 |    7836576 |   117104 |   31814720 |    7836576 |   1930256 |    475392 |
| 2019-11-01 |   31814720 |   475392 |  129160448 |   31814720 |   7836576 |   1930256 |
| 2019-12-01 |  129160448 |  1930256 |  524362816 |  129160448 |  31814720 |   7836576 |
| 2020-01-01 |  524362816 |  7836576 | 2128797568 |  524362816 | 129160448 |  31814720 |
| 2020-02-01 | 2128797568 | 31814720 | 8642449152 | 2128797568 | 524362816 | 129160448 |

要将此表与原始表组合使用,请使用UNION

WITH mytable AS (
    SELECT *, (nums+prev)*4 AS m0, NULL::numeric AS m1, NULL::numeric AS m2, NULL::numeric AS m3
    FROM (
        SELECT *
            , lag(nums, 3) OVER (ORDER BY dates ASC) AS prev 
        FROM (
        SELECT
            generate_series('2015-01-01', '2025-12-01', '1 month'::interval)::date AS dates,
            generate_series(1,50)::numeric AS nums) t
        ) t2
    WHERE nums IS NOT NULL
), last_row AS (
    SELECT * FROM mytable
    WHERE nums IS NOT NULL
    ORDER BY dates DESC
    LIMIT 1 
)
SELECT * FROM mytable
UNION (
    WITH RECURSIVE r(dates, nums, prev, m0, m1, m2, m3) AS (
        SELECT * FROM last_row
        UNION ALL
        SELECT (dates + '1 month'::interval)::date
            , m0
            , coalesce(m3, prev+1)
            , (m0+coalesce(m3, prev+1))*4
            , m0
            , m1
            , m2
        FROM r
        WHERE dates <= '2020-01-01')
    SELECT * FROM r)
ORDER BY dates

产量

|      dates |       nums |     prev |         m0 |         m1 |        m2 |        m3 |
|------------+------------+----------+------------+------------+-----------+-----------|
| 2015-01-01 |          1 |          |            |            |           |           |
| 2015-02-01 |          2 |          |            |            |           |           |
| 2015-03-01 |          3 |          |            |            |           |           |
| 2015-04-01 |          4 |        1 |         20 |            |           |           |
| 2015-05-01 |          5 |        2 |         28 |            |           |           |
| 2015-06-01 |          6 |        3 |         36 |            |           |           |
| 2015-07-01 |          7 |        4 |         44 |            |           |           |
| 2015-08-01 |          8 |        5 |         52 |            |           |           |
| 2015-09-01 |          9 |        6 |         60 |            |           |           |
| 2015-10-01 |         10 |        7 |         68 |            |           |           |
| 2015-11-01 |         11 |        8 |         76 |            |           |           |
| 2015-12-01 |         12 |        9 |         84 |            |           |           |
| 2016-01-01 |         13 |       10 |         92 |            |           |           |
| 2016-02-01 |         14 |       11 |        100 |            |           |           |
| 2016-03-01 |         15 |       12 |        108 |            |           |           |
| 2016-04-01 |         16 |       13 |        116 |            |           |           |
| 2016-05-01 |         17 |       14 |        124 |            |           |           |
| 2016-06-01 |         18 |       15 |        132 |            |           |           |
| 2016-07-01 |         19 |       16 |        140 |            |           |           |
| 2016-08-01 |         20 |       17 |        148 |            |           |           |
| 2016-09-01 |         21 |       18 |        156 |            |           |           |
| 2016-10-01 |         22 |       19 |        164 |            |           |           |
| 2016-11-01 |         23 |       20 |        172 |            |           |           |
| 2016-12-01 |         24 |       21 |        180 |            |           |           |
| 2017-01-01 |         25 |       22 |        188 |            |           |           |
| 2017-02-01 |         26 |       23 |        196 |            |           |           |
| 2017-03-01 |         27 |       24 |        204 |            |           |           |
| 2017-04-01 |         28 |       25 |        212 |            |           |           |
| 2017-05-01 |         29 |       26 |        220 |            |           |           |
| 2017-06-01 |         30 |       27 |        228 |            |           |           |
| 2017-07-01 |         31 |       28 |        236 |            |           |           |
| 2017-08-01 |         32 |       29 |        244 |            |           |           |
| 2017-09-01 |         33 |       30 |        252 |            |           |           |
| 2017-10-01 |         34 |       31 |        260 |            |           |           |
| 2017-11-01 |         35 |       32 |        268 |            |           |           |
| 2017-12-01 |         36 |       33 |        276 |            |           |           |
| 2018-01-01 |         37 |       34 |        284 |            |           |           |
| 2018-02-01 |         38 |       35 |        292 |            |           |           |
| 2018-03-01 |         39 |       36 |        300 |            |           |           |
| 2018-04-01 |         40 |       37 |        308 |            |           |           |
| 2018-05-01 |         41 |       38 |        316 |            |           |           |
| 2018-06-01 |         42 |       39 |        324 |            |           |           |
| 2018-07-01 |         43 |       40 |        332 |            |           |           |
| 2018-08-01 |         44 |       41 |        340 |            |           |           |
| 2018-09-01 |         45 |       42 |        348 |            |           |           |
| 2018-10-01 |         46 |       43 |        356 |            |           |           |
| 2018-11-01 |         47 |       44 |        364 |            |           |           |
| 2018-12-01 |         48 |       45 |        372 |            |           |           |
| 2019-01-01 |         49 |       46 |        380 |            |           |           |
| 2019-02-01 |         50 |       47 |        388 |            |           |           |
| 2019-03-01 |        388 |       48 |       1744 |        388 |           |           |
| 2019-04-01 |       1744 |       49 |       7172 |       1744 |       388 |           |
| 2019-05-01 |       7172 |       50 |      28888 |       7172 |      1744 |       388 |
| 2019-06-01 |      28888 |      388 |     117104 |      28888 |      7172 |      1744 |
| 2019-07-01 |     117104 |     1744 |     475392 |     117104 |     28888 |      7172 |
| 2019-08-01 |     475392 |     7172 |    1930256 |     475392 |    117104 |     28888 |
| 2019-09-01 |    1930256 |    28888 |    7836576 |    1930256 |    475392 |    117104 |
| 2019-10-01 |    7836576 |   117104 |   31814720 |    7836576 |   1930256 |    475392 |
| 2019-11-01 |   31814720 |   475392 |  129160448 |   31814720 |   7836576 |   1930256 |
| 2019-12-01 |  129160448 |  1930256 |  524362816 |  129160448 |  31814720 |   7836576 |
| 2020-01-01 |  524362816 |  7836576 | 2128797568 |  524362816 | 129160448 |  31814720 |
| 2020-02-01 | 2128797568 | 31814720 | 8642449152 | 2128797568 | 524362816 | 129160448 |
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