使用滯后窗口功能找到合適的分區

Question

我每天為來自不同行業的不同公司提供時間序列，並使用PostgreSQL。 我從一個例子開始，來解釋我的問題。 我所擁有的是：

+------------+---------+-------------+----+
|    day     | company | industry    | v  |
+------------+---------+-------------+----+
| 2012-01-12 | A       | consumer    | 2  |
| 2012-01-12 | B       | consumer    | 2  |
| 2012-01-12 | C       | health      | 4  |
| 2012-01-12 | D       | health      | 4  |
| 2012-01-13 | A       | consumer    | 5  |
| 2012-01-13 | B       | consumer    | 5  |
| 2012-01-13 | C       | health      | 7  |
| 2012-01-13 | D       | health      | 7  |
| 2012-01-16 | A       | consumer    | 8  |
| 2012-01-16 | B       | consumer    | 8  |
| 2012-01-16 | C       | health      | 3  |
| 2012-01-16 | D       | health      | 3  |
+------------+---------+-------------+----+

不同行業的公司不同，某些行業的日平均價值為v。 我需要的是：

+------------+---------+----------+---+------------+
|    day     | company | industry | v | delta_v    |
+------------+---------+----------+---+------------+
| 2012-01-12 | A       | consumer | 2 | NULL       |
| 2012-01-12 | B       | consumer | 2 | NULL       |
| 2012-01-12 | C       | health   | 4 | NULL       |
| 2012-01-12 | D       | health   | 4 | NULL       |
| 2012-01-13 | A       | consumer | 5 | 1.5        |
| 2012-01-13 | B       | consumer | 5 | 1.5        |
| 2012-01-13 | C       | health   | 7 | 0.75       |
| 2012-01-13 | D       | health   | 7 | 0.75       |
| 2012-01-16 | A       | consumer | 8 | 0.6        |
| 2012-01-16 | B       | consumer | 8 | 0.6        |
| 2012-01-16 | C       | health   | 3 | -0.571428  |
| 2012-01-16 | D       | health   | 3 | -0.571428  |
+------------+---------+----------+---+------------+

我需要變量v的每日變化。例如，行業“消費者”在2012年1月12日的平均值為2，在2012年1月13日為5。因此，增長率為（5-2）/ 2 = 1.5。

我嘗試了這個：

    SELECT * 
           , (v - LAG(v) OVER (PARTITION BY industry ORDER BY day) )
           / LAG (v) OVER (PARTITION BY industry ORDER BY day) AS delta_v
    FROM mytable
    ORDER BY day, industry

問題是，如果同一天有來自同一行業的多家公司，那么它也會“在幾天內”計算出價值的變化v。

我希望只需要在“ PARTITION BY”-子句中進行一些更正，但我真的不知道該怎么做。 您有什么想法可以幫助我嗎？

Answer 1

我認為您也希望公司也在那里：

SELECT t.*,
       ((v - LAG(v) OVER (PARTITION BY industry, company ORDER BY day) )
        / LAG (v) OVER (PARTITION BY industry, company ORDER BY day)
       ) AS delta_v
FROM mytable t
ORDER BY day, industry;

我不確定Postgres是否實際計算lag()兩次，但這更易於維護：

SELECT t.*,
       (v / LAG(v) OVER (PARTITION BY industry, company ORDER BY day) ) - 1
       ) AS delta_v
FROM mytable t
ORDER BY day, industry;