findfrequency: Find dominant frequency of a time series

In forecast: Forecasting Functions for Time Series and Linear Models

Find dominant frequency of a time series

Description

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.

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

Author(s)

Rob J Hyndman

Examples

findfrequency(USAccDeaths) # Monthly data
findfrequency(taylor) # Half-hourly data
findfrequency(lynx) # Annual data

forecast documentation built on Aug. 31, 2023, 5:13 p.m.