Department of Economics and Business Economics

A fast fractional difference algorithm

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A fast fractional difference algorithm. / Jensen, Andreas Noack; Nielsen, Morten Ørregaard.

In: Journal of Time Series Analysis, Vol. 35, No. 5, 01.01.2014, p. 428-436.

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

Harvard

Jensen, AN & Nielsen, MØ 2014, 'A fast fractional difference algorithm', Journal of Time Series Analysis, vol. 35, no. 5, pp. 428-436. https://doi.org/10.1111/jtsa.12074

APA

CBE

MLA

Vancouver

Jensen AN, Nielsen MØ. A fast fractional difference algorithm. Journal of Time Series Analysis. 2014 Jan 1;35(5):428-436. https://doi.org/10.1111/jtsa.12074

Author

Jensen, Andreas Noack ; Nielsen, Morten Ørregaard. / A fast fractional difference algorithm. In: Journal of Time Series Analysis. 2014 ; Vol. 35, No. 5. pp. 428-436.

Bibtex

@article{12b80ce7f8954b219e0fa0eec977d08f,
title = "A fast fractional difference algorithm",
abstract = "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.",
keywords = "Circular convolution theorem, Fast Fourier transform, Fractional difference",
author = "Jensen, {Andreas Noack} and Nielsen, {Morten {\O}rregaard}",
year = "2014",
month = jan,
day = "1",
doi = "10.1111/jtsa.12074",
language = "English",
volume = "35",
pages = "428--436",
journal = "Journal of Time Series Analysis",
issn = "0143-9782",
publisher = "Wiley-Blackwell Publishing Ltd.",
number = "5",

}

RIS

TY - JOUR

T1 - A fast fractional difference algorithm

AU - Jensen, Andreas Noack

AU - Nielsen, Morten Ørregaard

PY - 2014/1/1

Y1 - 2014/1/1

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 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.

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 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.

KW - Circular convolution theorem

KW - Fast Fourier transform

KW - Fractional difference

U2 - 10.1111/jtsa.12074

DO - 10.1111/jtsa.12074

M3 - Journal article

AN - SCOPUS:84906495300

VL - 35

SP - 428

EP - 436

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

IS - 5

ER -