Skip to content

fractional differencing in C with frequency domain discussion

Notifications You must be signed in to change notification settings

diffent/fracdiff

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

10 Commits
 
 
 
 
 
 
 
 

Repository files navigation

fracdiff

fractional differencing in C with frequency domain discussion: the properites of the fractional differencing and integration filters in the frequency domain

Plain C code, set up to build on Mac, but should be buildable by any C compiler.

See detailed notes in code and PDF slide show: https://github.com/diffent/fracdiff/blob/master/freqrespfracdiff.pdf

For a slightly different take on fractional time series modeling methods, see the Fractional Empirical Motion feature of our MCarloRisk3D iPad app, where the Hurst exponent can be specified for projecting forward price / probability envelopes. FEM is a generalization of FBM (Fractional Brownian Motion) which does not assume a Gaussian for the underlying distribution, but rather allows an empirical distribution to be used:

https://apps.apple.com/us/app/mcarlorisk3d/id641208540

In particular, see slide set 9 in this training guide for examples, and how to access the Hurst parameter: https://diffent.com/mcrtrain/mcrtrain.html

About

fractional differencing in C with frequency domain discussion

Topics

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published

Languages