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Question regarding modelling for time series

From: Alex Grund <st(dot)helldiver(at)googlemail(dot)com>
To: pgsql-sql(at)postgresql(dot)org
Subject: Question regarding modelling for time series
Date: 2012-09-04 20:16:05
Message-ID: CACjun4+niDs1FfZYc4PQ7hH+XepSVu_oLHBdXdkOhjgsnOeW-A@mail.gmail.com (view raw or flat)
Thread:
Lists: pgsql-sql
Hi there,

I want to use a database for storing economic time series.

An economic time series can be thought of as something like this:

NAME            | RELEASE_DATE | REPORTING_DATE | VALUE
----------------+--------------+----------------+-------
Unemployment US | 2011/01/01   | 2010/12/01     | xxx
Unemployment US | 2011/02/01   | 2011/01/01     | xxx
Unemployment US | 2011/03/01   | 2011/02/01     | xxx

The release date is the date on which the data provider published the
value and the reporting date is the date to which the value refers
(read: In Dec, 2010 the unemployment was X but this has not been known
until 2011/01/01).

However, that's not the whole story. On each "release date" not only
ONE value is released but in some cases the values for previous
reporting_dates are changed.

So, the table could read like this:

NAME            | RELEASE_DATE | REPORTING_DATE | VALUE
----------------+--------------+----------------+-------
Unemployment US | 2011/01/01   | 2010/12/01     | xxx
Unemployment US | 2011/01/01   | 2010/11/01     | xxx
Unemployment US | 2011/01/01   | 2010/10/01     | xxx

Unemployment US | 2011/02/01   | 2010/10/01     | xxx
Unemployment US | 2011/02/01   | 2010/11/01     | xxx
Unemployment US | 2011/02/01   | 2010/12/01     | xxx
Unemployment US | 2011/02/01   | 2011/01/01     | xxx

[...]

So, there are now mainly three questions to be answered:

1) "get me the time series [reporting_date, value] of unemployment as
it is now seen", so give all reporting_date,value tuples with the most
recent release_date.

2) "get me the time series [reporting_date, value] as it was
published/known to the market", so that means, in this case, give this
list:
Unemployment US | 2011/01/01   | 2010/12/01     | xxx
Unemployment US | 2011/02/01   | 2011/01/01     | xxx
Unemployment US | 2011/03/01   | 2011/02/01     | xxx

3) the same as (1) but with one enhancement: if the most recent
release has a history of N month, but all releases has a history of
N+X month, the time series from the most recent release should be
delivered plus the older values (in terms of reporting_dates) from the
second most recent release plus the more older values from the third
most recent release and so on.


So, I thought of a relational data base model like that:

TABLE 'ts' (TimeSeries)
PK:id | name

TABLE 'rs' (ReleaseStages)
PK:id | FK:ts_id | release_date

TABLE 'r' (Releases)
PK:id | FK:rs_id | reporting_date | value

Is this an appropriate model?

If yes, how could I answer the three questions above in terms of
SQL/Stored Procedures?

If no, what would you suggest?


And: If the datasets grow further, will be an RDBMS the right model
for time series storage? Any ideas on what else I could use?



Thank you very much!


--Alex


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Next:From: Sergey KonoplevDate: 2012-09-05 05:36:59
Subject: Re: Question regarding modelling for time series
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