A Fast Fractional Difference Algorithm

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Standard

A Fast Fractional Difference Algorithm. / Jensen, Andreas Noack; Nielsen, Morten Ørregaard.

I: Journal of Time Series Analysis, Bind 35, Nr. 5, 2014, s. 428–436.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Jensen, AN & Nielsen, MØ 2014, 'A Fast Fractional Difference Algorithm', Journal of Time Series Analysis, bind 35, nr. 5, s. 428–436. https://doi.org/10.1111/jtsa.12074

APA

Jensen, A. N., & Nielsen, M. Ø. (2014). A Fast Fractional Difference Algorithm. Journal of Time Series Analysis, 35(5), 428–436. https://doi.org/10.1111/jtsa.12074

Vancouver

Jensen AN, Nielsen MØ. A Fast Fractional Difference Algorithm. Journal of Time Series Analysis. 2014;35(5):428–436. https://doi.org/10.1111/jtsa.12074

Author

Jensen, Andreas Noack ; Nielsen, Morten Ørregaard. / A Fast Fractional Difference Algorithm. I: Journal of Time Series Analysis. 2014 ; Bind 35, Nr. 5. s. 428–436.

Bibtex

@article{0d4e6077871241af8693e42b3c7e1b89,
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 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.",
author = "Jensen, {Andreas Noack} and Nielsen, {Morten {\O}rregaard}",
note = "JEL Classification: C22, C63, C87 ",
year = "2014",
doi = "10.1111/jtsa.12074",
language = "English",
volume = "35",
pages = "428–436",
journal = "Journal of Time Series Analysis",
issn = "0143-9782",
publisher = "Wiley-Blackwell",
number = "5",

}

RIS

TY - JOUR

T1 - A Fast Fractional Difference Algorithm

AU - Jensen, Andreas Noack

AU - Nielsen, Morten Ørregaard

N1 - JEL Classification: C22, C63, C87

PY - 2014

Y1 - 2014

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 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.

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 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.

U2 - 10.1111/jtsa.12074

DO - 10.1111/jtsa.12074

M3 - Journal article

VL - 35

SP - 428

EP - 436

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

IS - 5

ER -

ID: 103058860