A FAST FRACTIONAL DIFFERENCE ALGORITHM

Andreas Noack and Morten Nielsen

Journal of Time Series Analysis, 2014, vol. 35, issue 5, 428-436

Abstract: type="main" xml:id="jtsa12074-abs-0001">

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-super-2, where T is the length of the time series. Our algorithm allows calculation speed of order TlogT. For moderate and large sample sizes, the difference in computation time is substantial. Copyright © 2014 John Wiley & Sons, Ltd.

Date: 2014
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Working Paper: A fast fractional difference algorithm (2013)
Working Paper: A Fast Fractional Difference Algorithm (2013)
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