A Fast Fractional Difference Algorithm

Andreas Noack Jensen; Morten Ørregaard Nielsen

doi:10.1111/jtsa.12074

A Fast Fractional Difference Algorithm

Andreas Noack Jensen, Morten Ørregaard Nielsen

36 Citationer (Scopus)

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
Tidsskrift	Journal of Time Series Analysis
Vol/bind	35
Udgave nummer	5
Sider (fra-til)	428–436
Antal sider	9
ISSN	0143-9782
DOI	https://doi.org/10.1111/jtsa.12074
Status	Udgivet - sep. 2014

Adgang til dokumentet

10.1111/jtsa.12074

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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AB - 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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