QLB

Usage

This function is used to calculate Ljung-Box statistics for time series, and convert it to p value.

Name: QLB

Input Series: Only support a single input series. The type is INT32 / INT64 / FLOAT / DOUBLE.

Parameters:

shift: max lag to calculate. Legal input shall be integer from 1 to n-2, where n is the sample number. Default value is n-2.

Output Series: Output a single series. The type is DOUBLE. The output series is p value, and timestamp means lag.

Note: If you want to calculate Ljung-Box statistics instead of p value, you may use AutoCorrelation function.

Examples

Using Default Parameter

Input series:

+-----------------------------+---------------+
|                         Time|root.test.d1.s1|
+-----------------------------+---------------+
|1970-01-01T00:00:00.100+08:00|           1.22|
|1970-01-01T00:00:00.200+08:00|          -2.78|
|1970-01-01T00:00:00.300+08:00|           1.53|
|1970-01-01T00:00:00.400+08:00|           0.70|
|1970-01-01T00:00:00.500+08:00|           0.75|
|1970-01-01T00:00:00.600+08:00|          -0.72|
|1970-01-01T00:00:00.700+08:00|          -0.22|
|1970-01-01T00:00:00.800+08:00|           0.28|
|1970-01-01T00:00:00.900+08:00|           0.57|
|1970-01-01T00:00:01.000+08:00|          -0.22|
|1970-01-01T00:00:01.100+08:00|          -0.72|
|1970-01-01T00:00:01.200+08:00|           1.34|
|1970-01-01T00:00:01.300+08:00|          -0.25|
|1970-01-01T00:00:01.400+08:00|           0.17|
|1970-01-01T00:00:01.500+08:00|           2.51|
|1970-01-01T00:00:01.600+08:00|           1.42|
|1970-01-01T00:00:01.700+08:00|          -1.34|
|1970-01-01T00:00:01.800+08:00|          -0.01|
|1970-01-01T00:00:01.900+08:00|          -0.49|
|1970-01-01T00:00:02.000+08:00|           1.63|
+-----------------------------+---------------+

SQL for query:

select QLB(s1) from root.test.d1

Output series:

+-----------------------------+--------------------+
|                         Time|QLB(root.test.d1.s1)|
+-----------------------------+--------------------+
|1970-01-01T00:00:00.001+08:00|  0.2168702295315677|
|1970-01-01T00:00:00.002+08:00|  0.3068948509261751|
|1970-01-01T00:00:00.003+08:00|  0.4217859150918444|
|1970-01-01T00:00:00.004+08:00|  0.5114539874276656|
|1970-01-01T00:00:00.005+08:00|  0.6560619525616759|
|1970-01-01T00:00:00.006+08:00|  0.7722398654053280|
|1970-01-01T00:00:00.007+08:00|  0.8532491661465290|
|1970-01-01T00:00:00.008+08:00|  0.9028575017542528|
|1970-01-01T00:00:00.009+08:00|  0.9434989988192729|
|1970-01-01T00:00:00.010+08:00|  0.8950280161464689|
|1970-01-01T00:00:00.011+08:00|  0.7701048398839656|
|1970-01-01T00:00:00.012+08:00|  0.7845536060001281|
|1970-01-01T00:00:00.013+08:00|  0.5943030981705825|
|1970-01-01T00:00:00.014+08:00|  0.4618413512531093|
|1970-01-01T00:00:00.015+08:00|  0.2645948244673964|
|1970-01-01T00:00:00.016+08:00|  0.3167530476666645|
|1970-01-01T00:00:00.017+08:00|  0.2330010780351453|
|1970-01-01T00:00:00.018+08:00|  0.0666611237622325|
+-----------------------------+--------------------+