Howtosignalprocessing
- How do you find the periodicity of a time series?
- How do you measure periodicity?
- What is periodicity detection?
- What is periodicity frequency?
How do you find the periodicity of a time series?
The most commonly used methods for finding periodicity in time series are autocorrelation and spectral analyses (Box and Jenkins 1976, Chatfield 1989). Both of these meth- ods require the data being at least second-order station- ary, i.e., having time-invariant mean and variance.
How do you measure periodicity?
The most generalized way of measuring periodicity of a signal is to take it's Fourier transform, use it to get a power density distribution, then normalize this distribution to obtain something like a probability distribution function over the frequencies and then calculate this pdf's entropy.
What is periodicity detection?
Abstract—Periodicity mining is used for predicting trends in time series data. Discovering the rate at which the time series is periodic has always been an obstacle for fully automated periodicity mining. Existing periodicity mining algorithms assume that the periodicity rate (or simply the period) is user-specified.
What is periodicity frequency?
While frequency refers to the time interval between the observations of a time series, periodicity refers to the frequency of compilation of the data (e.g., a time series could be available at annual frequency but the underlying data are compiled monthly, thus have a monthly periodicity).
