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

MoreLess

Year of publication:	2013
Authors:	Jensen, Andreas ; Nielsen, Morten Ørregaard
Publisher:	[S.l.] : SSRN
Subject:	Algorithmus \| Algorithm \| Zeitreihenanalyse \| Time series analysis \| Fourier-Analyse \| Fourier analysis

Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 24, 2013 erstellt
Other identifiers:	10.2139/ssrn.2269814 [DOI]
Classification:	C22 - Time-Series Models ; C63 - Computational Techniques ; C87 - Econometric Software
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014157659