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skuttruf / frac-diff_sk
Last active January 23, 2024 06:35
Python code for fractional differencing of pandas time series
"""
Python code for fractional differencing of pandas time series
illustrating the concepts of the article "Preserving Memory in Stationary Time Series"
by Simon Kuttruf
While this code is dedicated to the public domain for use without permission, the author disclaims any liability in connection with the use of this code.
"""
import numpy as np
import pandas as pd