Department of Economics and Business Economics

A fast fractional difference algorithm

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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.

Original languageEnglish
JournalJournal of Time Series Analysis
Volume35
Issue5
Pages (from-to)428-436
Number of pages9
ISSN0143-9782
DOIs
Publication statusPublished - 1 Jan 2014

    Research areas

  • Circular convolution theorem, Fast Fourier transform, Fractional difference

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