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
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)
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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:kud:kuiedp:1304
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