A Fast Fractional Difference Algorithm

Andreas Noack and Morten Nielsen

No 1307, Working Paper from Economics Department, Queen's University

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 log(T). 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)
Pages: 11 pages
Date: 2013-04
References: Add references at CitEc
Citations: View citations in EconPapers (6)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1307.pdf First version 2013 (application/pdf)

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:qed:wpaper:1307

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