QED Working Paper Number

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.

Andreas Noack Jensen
JEL Codes
Circular convolution theorem
fast Fourier transform
fractional difference
Working Paper