A Fast Fractional Difference Algorithm

Publikation: Working paperForskning

  • Andreas Noack Jensen
  • Morten Ørregaard Nielsen
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.
OriginalsprogEngelsk
Udgivelses stedKbh.
UdgiverØkonomisk institut, Københavns Universitet
Antal sider10
StatusUdgivet - 2013
NavnUniversity of Copenhagen. Institute of Economics. Discussion Papers (Online)
Nummer4
Vol/bind13
ISSN1601-2461

Bibliografisk note

JEL Classification: C22, C63, C87

ID: 47416835