A Fast Fractional Difference Algorithm
Copyright policy )A Fast Fractional Difference Algorithm
AbstractWe 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 T2, where T is the length of the time series. Our algorithm allows calculation speed of order TlogT. For moderate and large sample sizes, the difference in computation time is substantial. Copyright © 2014 John Wiley & Sons, Ltd.
- Aarhus University Denmark
- University of Copenhagen Denmark
- University of Copenhagen Denmark
- Queen's University Canada
- University of Copenhagen Denmark
ddc:330, Computational problems in statistics, circular convolution theorem, fast Fourier transform, Circular convolution theorem; fast Fourier transform; fractional difference, Circular convolution theorem, Time series, auto-correlation, regression, etc. in statistics (GARCH), C63, Fast Fourier transform, Fractional difference, fractional difference, Faculty of Science, Circular convolution theorem, fast Fourier transform, fractional difference, /dk/atira/pure/core/keywords/TheFacultyOfScience, C87, C22, jel: jel:C63, jel: jel:C87, jel: jel:C22
ddc:330, Computational problems in statistics, circular convolution theorem, fast Fourier transform, Circular convolution theorem; fast Fourier transform; fractional difference, Circular convolution theorem, Time series, auto-correlation, regression, etc. in statistics (GARCH), C63, Fast Fourier transform, Fractional difference, fractional difference, Faculty of Science, Circular convolution theorem, fast Fourier transform, fractional difference, /dk/atira/pure/core/keywords/TheFacultyOfScience, C87, C22, jel: jel:C63, jel: jel:C87, jel: jel:C22
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).58 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Top 10%
Citations provided by BIP!Popularity provided by BIP!