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OT: How to estimate the periodicity of a time series?

Posted By: leobueno
Date: Saturday, 11 February 2012, at 11:23 a.m.

I am exploring a financial time series (about 4000 data points) which I think is cyclical. I would like to estimate its period.

A couple of ideas come to mind, but I don't know if they are sound or how to go about it. One is regressing the data to a periodic function. The other is doing a transform (Fourier?). I suspect there are others.

Will appreciate your pointing me to a suitable technique and software (ideally Microsoft Excel).

Thanks.

Messages In This Thread

• OT: How to estimate the periodicity of a time series?
  leobueno -- Saturday, 11 February 2012, at 11:23 a.m.
  • OT: How to estimate the periodicity of a time series?
    Casper van der Tak -- Saturday, 11 February 2012, at 2:26 p.m.