A Fast Fractional Difference Algorithm
Research output: Working paper › Research
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.
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.
Original language | English |
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Place of Publication | Kbh. |
Publisher | Økonomisk institut, Københavns Universitet |
Number of pages | 10 |
Publication status | Published - 2013 |
Series | University of Copenhagen. Institute of Economics. Discussion Papers (Online) |
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Number | 4 |
Volume | 13 |
ISSN | 1601-2461 |
Bibliographical note
JEL Codes: C22, C63, C87
- Faculty of Science - Circular convolution theorem, fast Fourier transform, fractional difference
Research areas
ID: 47416835