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.

Usage

findfrequency(x)

Arguments

x

a numeric vector or time series of class ts

Value

an integer value

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.

Author

Rob J Hyndman

Examples

findfrequency(USAccDeaths) # Monthly data
#> [1] 12
findfrequency(taylor) # Half-hourly data
#> [1] 48
findfrequency(lynx) # Annual data
#> [1] 10