Introduction to Fourier analysis of time series

How to detect seasonality, forecast and fill gaps in time series using Fast Fourier Transform

Mehmet E. Yavuz (2021). Fourier Series Animation using Harmonic Circles (link), MATLAB Central File Exchange. Retrieved January 24, 2021.

In this article, I will show you the uses of the Fourier transform in time series analysis. We will use the Fast Fourier Transform algorithm, which is available in most statistical packages and libraries. Visualisations and code examples in Python supplements this article.

All are available in this notebook (Google Colab).

Although this topic often seems complicated, I will convince you that even basic use of Fourier analysis can give good results.

How to analyse weather data using Fourier analysis

Let’s assume that we work on some weather data.

In our dataset is the average daily temperature for a certain location.