A fast fractional difference algorithm

Andreas Noack and Morten ßrregaard Nielsen

No 274632, Queen's Economics Department Working Papers from Queen's University - 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.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 12
Date: 2013-04
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Related works:
Journal Article: A FAST FRACTIONAL DIFFERENCE ALGORITHM (2014)
Working Paper: A Fast Fractional Difference Algorithm (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:274632

DOI: 10.22004/ag.econ.274632

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