A Fast Fractional Difference Algorithm
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A Fast Fractional Difference Algorithm. / Jensen, Andreas Noack; Nielsen, Morten Ørregaard.
Kbh. : Økonomisk institut, Københavns Universitet, 2013.Research output: Working paper › Research
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TY - UNPB
T1 - A Fast Fractional Difference Algorithm
AU - Jensen, Andreas Noack
AU - Nielsen, Morten Ørregaard
N1 - JEL Codes: C22, C63, C87
PY - 2013
Y1 - 2013
N2 - 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.
AB - 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.
KW - Faculty of Science
KW - Circular convolution theorem
KW - fast Fourier transform
KW - fractional difference
M3 - Working paper
T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)
BT - A Fast Fractional Difference Algorithm
PB - Økonomisk institut, Københavns Universitet
CY - Kbh.
ER -
ID: 47416835