A Fast Fractional Difference Algorithm

Andreas Noack Jensen; Morten Ørregaard Nielsen

A Fast Fractional Difference Algorithm

Andreas Noack Jensen, Morten Ørregaard Nielsen

Økonomisk Institut

Abstract

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 logT . For moderate and large sample sizes, the difference in computation time is substantial.

Originalsprog	Engelsk
Udgivelsessted	Kbh.
Udgiver	Økonomisk institut, Københavns Universitet
Antal sider	10
Status	Udgivet - 2013

Navn	University of Copenhagen. Institute of Economics. Discussion Papers (Online)
Nummer	4
Vol/bind	13
ISSN	1601-2461

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Det Natur- og Biovidenskabelige Fakultet

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Citationsformater

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abstract = "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 logT . For moderate and large sample sizes, the difference in computation time is substantial.",

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KW - fast Fourier transform

KW - fractional difference

M3 - Working paper

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