A fast fractional difference algorithm

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T^2, where T is the length of the time series. Our algorithm allows calculation speed of order T log(T). For moderate and large sample sizes, the difference in computation time is substantial.

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Year of publication:	2013-04
Authors:	Jensen, Andreas Noack ; Nielsen, Morten Ørregaard
Institutions:	Economics Department, Queen's University
Subject:	Circular convolution theorem \| fast Fourier transform \| fractional difference

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1307 11 pages
Classification:	C22 - Time-Series Models ; C63 - Computational Techniques ; C87 - Econometric Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011147848