covariance()

Calculate the covariance from a two-dimensional statistical aggregate

Since 1.3.0

Calculate the covariance from a two-dimensional statistical aggregate. The calculation uses the standard least-squares fitting for linear regression.

covariance(
    summary StatsSummary2D,
    [ method TEXT ]
) RETURNS DOUBLE PRECISION

Arguments

Name	Type	Default	Required	Description
summary	StatsSummary2D	-	✔	The statistical aggregate produced by a stats_agg call
method	TEXT	sample	-	The method used for calculating the covariance. The two options are population and sample, which can be abbreviated to pop or samp

Returns

Column	Type	Description
covariance	DOUBLE PRECISION	The covariance of the least-squares fit line

Samples

Calculate the covariance of independent variable y and dependent variable x for each 15-minute time bucket:

SELECT
    id,
    time_bucket('15 min'::interval, ts) AS bucket,
    covariance(stats_agg(y, x)) AS summary
FROM foo
GROUP BY id, time_bucket('15 min'::interval, ts)