A fast fractional difference algorithm

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.


Issue Date:
2013-04
Publication Type:
Working or Discussion Paper
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/274632
Language:
English
Total Pages:
12
JEL Codes:
C22; C63
Series Statement:
Working Paper No. 1307




 Record created 2018-06-28, last modified 2020-10-28

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