A FAST FRACTIONAL DIFFERENCE ALGORITHM
提出一种快速算法计算时间序列的分数差分，将计算速度从标准实现的T²量级提升到T log T量级，对中等和大样本量效果显著。
Abstract 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. Copyright © 2014 John Wiley & Sons, Ltd.