fdiff function

Fast fractional differencing procedure of Jensen and Nielsen (2014).

Takes the d-th difference of the series.

fdiff(x, d)

Arguments

• x: series to be differenced
• d: memory parameter indicating order of the fractional difference.

Details

This code was first published on the university webpage of Morten Nielsen and is redistributed here with the author's permission.

Examples

acf(fdiff(x=rnorm(500), d=0.4))

References

Jensen, A. N. and Nielsen, M. O. (2014): A fast fractional difference algorithm, Journal of Time Series Analysis 35(5), pp. 428-436.

Author(s)

Jensen, A. N. and Nielsen, M. O.