fdiff {LongMemoryTS}

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

Description

Takes the d-th difference of the series.

Usage

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.

Author(s)

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

References

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

Examples

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