A fast fractional difference algorithm

Andreas Noack Jensen; Morten Ørregaard Nielsen

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (complexity) is of order T 2, where T is the length of the time series. Our algorithm allows calculation speed of order T log2 T . For moderate and large sample sizes, the difference in computation time is substantial. -- Circular convolution theorem ; fast Fourier transform ; fractional difference

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Year of publication:	2013 ; This version May 10, 2013
Authors:	Noack Jensen, Andreas ; Nielsen, Morten Ørregaard
Publisher:	Kingston, Ont. : Queen's Economics Dep., Queen's Univ.
Subject:	Algorithmus \| Algorithm \| Zeitreihenanalyse \| Time series analysis \| Fourier-Analyse \| Fourier analysis

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Extent:	Online-Ressource (9 S.) graph. Darst.
Series:	Queen's Economics Department working paper. - Kingston, Ontario : [Verlag nicht ermittelbar], ZDB-ID 2272591-X. - Vol. 1307
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/97464 [Handle]
Classification:	C22 - Time-Series Models ; C63 - Computational Techniques ; C87 - Econometric Software
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009739619