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.
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 |
|---|---|
| Journal | Journal of Time Series Analysis |
| Volume | 35 |
| Issue number | 5 |
| Pages (from-to) | 428–436 |
| Number of pages | 9 |
| ISSN | 0143-9782 |
| DOIs | |
| Publication status | Published - Sept 2014 |