A FAST FRACTIONAL DIFFERENCE ALGORITHM

DOI10.1111/jtsa.12074zbMath1311.65009OpenAlexW3124481911MaRDI QIDQ5176849

Andreas Noack Jensen, Morten Ørregaard Nielsen

Publication date: 4 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/274632/files/qed_wp_1307.pdf

zbMATH Keywords

fast Fourier transformfractional differencecircular convolution theorem

Mathematics Subject Classification ID

Related Items (15)

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Uses Software

• Matlab
• R
• Ox
• longmemo
• fracdiff

Cites Work

• Unnamed Item
• Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Alternative forms of fractional Brownian motion
• Long‐Memory Time Series
• Tests for Hurst effect
• Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
• An Algorithm for the Machine Calculation of Complex Fourier Series
• On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series

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