Oracle Analytic Rolling Percentile

Question

Is it possible to use windowing with any of the percentile functions? Or do you know a work around to get a rolling percentile value?

It is easy with a moving average:

select avg(foo) over (order by foo_date rows 
                      between 20 preceding and 1 preceding) foo_avg_ma
from foo_tab

But I can't figure out how to get the median (50% percentile) over the same window.

Answer 1

You can use PERCENTILE_CONT or PERCENTILE_DISC function to find the median.

PERCENTILE_CONT is an inverse distribution function that assumes a continuous distribution model. It takes a percentile value and a sort specification, and returns an interpolated value that would fall into that percentile value with respect to the sort specification. Nulls are ignored in the calculation.

...

PERCENTILE_DISC is an inverse distribution function that assumes a discrete distribution model. It takes a percentile value and a sort specification and returns an element from the set. Nulls are ignored in the calculation.

...

The following example computes the median salary in each department:

SELECT department_id,
       PERCENTILE_CONT(0.5) WITHIN GROUP (ORDER BY salary DESC) "Median cont",
       PERCENTILE_DISC(0.5) WITHIN GROUP (ORDER BY salary DESC) "Median disc"
  FROM employees
  GROUP BY department_id
  ORDER BY department_id;

...

PERCENTILE_CONT and PERCENTILE_DISC may return different results. PERCENTILE_CONT returns a computed result after doing linear interpolation. PERCENTILE_DISC simply returns a value from the set of values that are aggregated over. When the percentile value is 0.5, as in this example, PERCENTILE_CONT returns the average of the two middle values for groups with even number of elements, whereas PERCENTILE_DISC returns the value of the first one among the two middle values. For aggregate groups with an odd number of elements, both functions return the value of the middle element.

a SAMPLE with windowing simulation trough range self-join

with sample_data as (
        select /*+materialize*/ora_hash(owner) as table_key,object_name,
            row_number() over (partition by owner order by object_name) as median_order,
            row_number() over (partition by owner order by dbms_random.value) as any_window_sort_criteria
        from dba_objects
    )
select table_key,x.any_window_sort_criteria,x.median_order,
    PERCENTILE_DISC(0.5) WITHIN GROUP (ORDER BY y.median_order DESC) as rolling_median,
    listagg(to_char(y.median_order), ',' )WITHIN GROUP (ORDER BY y.median_order) as elements
from sample_data x
    join sample_data y using (table_key)
where y.any_window_sort_criteria between x.any_window_sort_criteria-3 and x.any_window_sort_criteria+3
group by table_key,x.any_window_sort_criteria,x.median_order
order by table_key, any_window_sort_criteria
/