findfrequency

0th

Percentile

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.

Keywords
ts
Usage
findfrequency(x)
Arguments
x

a numeric vector or time series of class ts

Details

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.

Value

an integer value

Aliases
  • findfrequency
Examples
# NOT RUN {
findfrequency(USAccDeaths) # Monthly data
findfrequency(taylor) # Half-hourly data
findfrequency(lynx) # Annual data

# }
Documentation reproduced from package forecast, version 8.9, License: GPL-3

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