Find dominant frequency of a time series
findfrequency returns the period of the dominant frequency of a time series. For seasonal data, it will return the seasonal period. For cyclic data, it will return the average cycle length.
- a numeric vector or time series
The dominant frequency is determined from a spectral analysis of the time series. First, a linear trend is removed, then the spectral density function is estimated from the best fitting autoregressive model (based on the AIC). If there is a large (possibly local) maximum in the spectral density function at frequency $f$, then the function will return the period $1/f$ (rounded to the nearest integer). If no such dominant frequency can be found, the function will return 1.
- an integer value
findfrequency(USAccDeaths) # Monthly data findfrequency(taylor) # Half-hourly data findfrequency(lynx) # Annual data