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 |
|---|---|
| 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) |
|---|---|
| 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