A Fast Fractional Difference Algorithm

Andreas Noack Jensen; Morten Ørregaard Nielsen

A Fast Fractional Difference Algorithm

Andreas Noack Jensen, Morten Ørregaard Nielsen

Department of Economics

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.

Original language	English
Place of Publication	Kbh.
Publisher	Økonomisk institut, Københavns Universitet
Number of pages	10
Publication status	Published - 2013

Series	University of Copenhagen. Institute of Economics. Discussion Papers (Online)
Number	4
Volume	13
ISSN	1601-2461

Keywords

Faculty of Science
Circular convolution theorem
fast Fourier transform
fractional difference

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Cite this

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KW - fast Fourier transform

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