mcovarTopN

语法

mcovarTopN(X, Y, S, window, top, [ascending=true], [tiesMethod='oldest'])

参数说明和窗口计算规则请参考：mTopN

详情

在给定长度（以元素个数衡量）的滑动窗口内，根据 ascending 指定的排序方式将 X 和 Y 按照 S 进行稳定排序后，取前 top 个元素，然后计算 Y 和 X 的协方差。

例子

x = NULL 3 8 4 0
y = 2 3 1 7 3
s = 5 NULL 8 9 4

mcovarTopN(x, y, s, 3, 2)
# output
[ , , , -12, -8]

s2=2021.01.01 2021.02.03 2021.01.23 2021.04.06 2021.12.29
mcovarTopN(x, y, s2, 3, 2)
# output
[ , , , -5, -12]

x1 = matrix(x, 4 3 6 2 3)
y1=matrix(3 7 9 3 2, y)
s1=matrix(2 3 1 7 3, s)

mcovarTopN(x, y1, s1, 3, 2)


col1	col2



5	-5
28	-8

mcovarTopN(x1, y1, s, 3, 2)


col1	col2

	-0.5
	-0.5
5	-3
28	-3

mcovarTopN(x1, y1, s1, 3, 2)


col1	col2

	-0.5
	-0.5
5	-3
28	-3

n = 3000
ids = 1..3000
dates = take(2021.01.01..2021.10.01,n)
prices = rand(1000,n)
vals = rand(1000,n)
t = table(ids as id,dates as date,prices as price,vals as val)
dbName = "dfs://test_mcovarTopN_2"
if(existsDatabase(dbName))dropDB(dbName)
db = database(dbName,VALUE,1..5000)
pt = db.createPartitionedTable(t,"pt",`id).append!(t)
select mcovarTopN(price, val, id, 10, 5, true) from pt where date>2021.05.01