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A computationally efficient approximation for fractional differencing: First-order operators
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DOI：10.1016/j.chaos.2025.117813.png)
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Abstract
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• First convex combination operator replacing kernel-based fractional methods. • Theoretical O(d2) error bound uniform across all time points. • Universal weight formula wopt=d(1−0.9ρ)β(p) for any AR( p) process. • 99.96% computational reduction: O(T2) to O(T) complexity. • Empirical validation: 93% error reduction for persistent financial series.
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