A Fast Fractional Difference Algorithm
11 Pages Posted: 7 Jun 2013
Date Written: May 24, 2013
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 log T. For moderate and large sample sizes, the difference in computation time is substantial.
Keywords: Circular convolution theorem, fast Fourier transform, fractional difference
JEL Classification: C22, C63, C87
Suggested Citation: Suggested Citation