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 (complexity) is of order T 2, where T is the length of the time series. Our algorithm allows calculation speed of order T log2 T . For moderate and large sample sizes, the difference in computation time is substantial.

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Year of publication:	2013
Authors:	Noack Jensen, Andreas ; Ørregaard Nielsen, Morten
Publisher:	Kingston (Ontario) : Queen's University, Department of Economics
Subject:	Circular convolution theorem \| fast Fourier transform \| fractional difference

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Series:	Queen's Economics Department Working Paper ; 1307
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	745636632 [GVK] hdl:10419/97464 [Handle] RePEc:qed:wpaper:1307 [RePEc]
Classification:	C22 - Time-Series Models ; C63 - Computational Techniques ; C87 - Econometric Software
Source:	EconStor

Persistent link: https://www.econbiz.de/10010368283