Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97464
Authors: 
Noack Jensen, Andreas
Ørregaard Nielsen, Morten
Year of Publication: 
2013
Series/Report no.: 
Queen's Economics Department Working Paper 1307
Abstract: 
We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (complexity) is of order T 2, where T is the length of the time series. Our algorithm allows calculation speed of order T log2 T . For moderate and large sample sizes, the difference in computation time is substantial.
Subjects: 
Circular convolution theorem
fast Fourier transform
fractional difference
JEL: 
C22
C63
C87
Document Type: 
Working Paper

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