Check the frequency of time series data

Question

Assume: I have a time series data, either a zoo or xts object.

Question: Is there any convenient function or method so that I can check whether the time series is monthly, quarterly or yearly?

Answer 1

You can compute the average difference between the timestamps, and check if it is closer to 1 (daily data), 7 (weekly), etc.

guess_period <- function(x) { 
  average_period <- as.double( mean(diff(index(x))), units="days" )
  difference <- abs(log( average_period / c(
    daily = 1,
    business_days = 7/5,
    weekly = 7,
    monthly = 30,
    quarterly = 365/4,
    annual = 365
  ) ) )
  names( which.min( difference ) )
}

# Examples
library(quantmod)
getSymbols("^GSPC")
guess_period( GSPC )
# [1] "business_days"

getSymbols('CPIAUCNS',src='FRED')
guess_period( CPIAUCNS )
# [1] "monthly"

Answer 2

The xts package has the function periodicity for this purpose.

library(quantmod)
getSymbols("^GSPC")
periodicity(GSPC)
# Daily periodicity from 2007-01-03 to 2013-10-04
getSymbols("CPIAUCNS", src="FRED")
periodicity(CPIAUCNS)
# Monthly periodicity from 1913-01-01 to 2013-08-01