A FAST FRACTIONAL DIFFERENCE ALGORITHM. (20th May 2014)
- Record Type:
- Journal Article
- Title:
- A FAST FRACTIONAL DIFFERENCE ALGORITHM. (20th May 2014)
- Main Title:
- A FAST FRACTIONAL DIFFERENCE ALGORITHM
- Authors:
- Jensen, Andreas Noack
Nielsen, Morten Ørregaard - Abstract:
- <abstract abstract-type="main" id="jtsa12074-abs-0001"> <title>Abstract</title> <p>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 <italic>T</italic><sup>2</sup>, where <italic>T</italic> is the length of the time series. Our algorithm allows calculation speed of order <italic>T</italic>log<italic>T</italic>. For moderate and large sample sizes, the difference in computation time is substantial. Copyright © 2014 John Wiley & Sons, Ltd.</p> </abstract>
- Is Part Of:
- Journal of time series analysis. Volume 35:Number 5(2014:Sep.)
- Journal:
- Journal of time series analysis
- Issue:
- Volume 35:Number 5(2014:Sep.)
- Issue Display:
- Volume 35, Issue 5 (2014)
- Year:
- 2014
- Volume:
- 35
- Issue:
- 5
- Issue Sort Value:
- 2014-0035-0005-0000
- Page Start:
- 428
- Page End:
- 436
- Publication Date:
- 2014-05-20
- Subjects:
- Time-series analysis -- Periodicals
519.232 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9892 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/jtsa.12074 ↗
- Languages:
- English
- ISSNs:
- 0143-9782
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5069.400000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 2972.xml