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A fast fractional difference algorithm

Andreas Noack Jensen and Morten Nielsen ()
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Andreas Noack Jensen: Department of Economics, University of Copenhagen

No 13-04, Discussion Papers from University of Copenhagen. 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: Circular convolution theorem; fast Fourier transform; fractional difference (search for similar items in EconPapers)
JEL-codes: C22 C63 C87 (search for similar items in EconPapers)
Date: 2013-05-23
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Working Paper: A Fast Fractional Difference Algorithm (2013) Downloads
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