A FAST FRACTIONAL DIFFERENCE ALGORITHM

被引：45

作者：

Jensen, Andreas Noack ^{[1
]}

Nielsen, Morten Orregaard ^{[2
,3
]}

机构：

[1] Univ Copenhagen, Copenhagen, Denmark

[2] Queens Univ, Kingston, ON K7L 3N6, Canada

[3] CREATES, Aarhus, Denmark

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2014年 / 35卷 / 05期

基金：

新加坡国家研究基金会;

关键词：

Circular convolution theorem; fast Fourier transform; fractional difference; MAXIMUM-LIKELIHOOD-ESTIMATION; FOURIER-TRANSFORM;

D O I：

10.1111/jtsa.12074

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页码：428 / 436

页数：9

共 23 条

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[2]

[Anonymous], 1977, DISCRETE TIME SIGNAL

[3]

Beran J., 1994, Statistics for Long-Memory Processes

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