A fast fractional difference algorithm
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Cites work
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Alternative forms of fractional Brownian motion
- An Algorithm for the Machine Calculation of Complex Fourier Series
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Long‐Memory Time Series
- On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series
- Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
- Tests for Hurst effect
Cited in
(24)- Burn-in selection in simulating stationary time series
- Adaptive long memory testing under heteroskedasticity
- Long Memory Factor Model: On Estimation of Factor Memories
- Nonstationarity-extended Whittle estimation with discontinuity: a correction
- Jensen-distance rate for stationary time series based on cross-spectral methods
- A fast algorithm for computing a matrix transform used to detect trends in noisy data
- Fractionally integrated GARCH model with tempered stable distribution: a simulation study
- Normalized finite fractional differences: computational and accuracy breakthroughs
- The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
- Spurious multivariate regressions under fractionally integrated processes
- An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
- Long memory, fractional integration, and cross-sectional aggregation
- To infinity and beyond: efficient computation of ARCH() models
- Preservation law involving information potential and Jensen-variance distance: application to stationary Gaussian processes
- Nonstationary cointegration in the fractionally cointegrated VAR Model
- Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
- Modeling bivariate long-range dependence with general phase
- A high-speed algorithm for computation of fractional differentiation and fractional integration
- Long memory, realized volatility and heterogeneous autoregressive models
- Theory and applications of financial chaos index
- Generating univariate fractional integration within a large VAR(1)
- A generalised fractional differencing bootstrap for long memory processes
- Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions
- scientific article; zbMATH DE number 5011075 (Why is no real title available?)
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