A Fast Fractional Difference Algorithm

QED Working Paper Number
1307

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.

Author(s)

Andreas Noack Jensen

JEL Codes

Keywords

Circular convolution theorem
fast Fourier transform
fractional difference

Working Paper

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