A Fast Fractional Difference Algorithm

Publikation: Working paperForskning

Standard

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

Kbh. : Økonomisk institut, Københavns Universitet, 2013.

Publikation: Working paperForskning

Harvard

Jensen, AN & Nielsen, MØ 2013 'A Fast Fractional Difference Algorithm' Økonomisk institut, Københavns Universitet, Kbh.

APA

Jensen, A. N., & Nielsen, M. Ø. (2013). A Fast Fractional Difference Algorithm. Kbh.: Økonomisk institut, Københavns Universitet. University of Copenhagen. Institute of Economics. Discussion Papers (Online), Nr. 4, Bind. 13

Vancouver

Jensen AN, Nielsen MØ. A Fast Fractional Difference Algorithm. Kbh.: Økonomisk institut, Københavns Universitet. 2013.

Author

Jensen, Andreas Noack ; Nielsen, Morten Ørregaard. / A Fast Fractional Difference Algorithm. Kbh. : Økonomisk institut, Københavns Universitet, 2013. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 4, Bind 13 ).

Bibtex

@techreport{2e284765e1a049bd88c95085ab034a2e,
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.",
keywords = "Faculty of Science, Circular convolution theorem, fast Fourier transform, fractional difference",
author = "Jensen, {Andreas Noack} and Nielsen, {Morten {\O}rregaard}",
note = "JEL Codes: C22, C63, C87",
year = "2013",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "4",
publisher = "{\O}konomisk institut, K{\o}benhavns Universitet",
type = "WorkingPaper",
institution = "{\O}konomisk institut, K{\o}benhavns Universitet",

}

RIS

TY - UNPB

T1 - A Fast Fractional Difference Algorithm

AU - Jensen, Andreas Noack

AU - Nielsen, Morten Ørregaard

N1 - JEL Codes: C22, C63, C87

PY - 2013

Y1 - 2013

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.

KW - Faculty of Science

KW - Circular convolution theorem

KW - fast Fourier transform

KW - fractional difference

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - A Fast Fractional Difference Algorithm

PB - Økonomisk institut, Københavns Universitet

CY - Kbh.

ER -

ID: 47416835