A fast fractional difference algorithm

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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 T2, where T is the length of the time series. Our algorithm allows calculation speed of order TlogT. For moderate and large sample sizes, the difference in computation time is substantial.

OriginalsprogEngelsk
TidsskriftJournal of Time Series Analysis
Vol/bind35
Nummer5
Sider (fra-til)428-436
Antal sider9
ISSN0143-9782
DOI
StatusUdgivet - 1 jan. 2014

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