Statistics and Econometrics (118)
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 Statistical Analysis of Climate Time Series   - Codes by Manfred Mudelsee. PearsonT estimates Pearson’s correlation coefficient from serially dependent time series. Rampfit estimates ramp function regressions. TAUEST estimates persistence in unevenly spaced weather/climate time series. XTREND estimat - http://www.manfredmudelsee.com    Garland B. Durham - Fortran 95 code to estimate of continuous-time diffusion processes, including stochastic volatility models. - http://leeds-faculty.colorado.edu/durhamg/ Adaptive Logistic Basis Function Regression (ALB) - Fortran 77 code by Peter M. Hooper. - http://www.stat.ualberta.ca/~hooper/research/alb_software/ Time-Varying Autoregression (TVAR) - 404 - 2007.4.1 - Software by Raquel Prado and Mike West for fitting, analysis and exploration of time series using classes of TVAR's. - http://xpress.isds.duke.edu:8080/softwarelinks/tvar.html Multivariate Normal and Multivariate t Integrals Over Convex Regions - Fortran 90 code by Paul N. Somerville, appearing in the Journal of Statistical Software volume 3. - http://www.jstatsoft.org/v06/i08/ Stochastic Differential Equation Software - Fortran 77 code for numerical solution of stochastic differential equations such as those which arise in Black-Scholes theory and its generalizations. - http://www.isalgorithms.ca/examples.html Software for Stochastic Simulation Input Modeling - Fortran 77 code and Windows executables for fitting Johnson distributions, Poisson processes, and other topics. By James R. Wilson. - http://www.ise.ncsu.edu/jwilson/page3.html Research Tools Developed by the Mann Group - Fortran 77 code for the Mann & Lees Multi-Taper Method (MTM) and Mann & Park MTM-SVD Multivariate Signal Analysis. - http://holocene.meteo.psu.edu/Mann/tools/tools.html RedFit - Fortran 90 code by Michael Schulz and Manfred Mudelsee to estimate red-noise spectra directly from unevenly spaced time series, without requiring interpolation. - http://www.ncdc.noaa.gov/paleo/softlib/redfit/redfit.html Statistical programs - Code for "Invariant Small Sample Confidence Intervals For The Difference Of Two Success Probabilities" and "Bootstrap Prediction and Confidence Bands: a Superior Statistical Method for Analysis of Gait Data", by Thomas Santner. - http://www.stat.osu.edu/~tjs/ StatCodes - Metasite with links to source codes in Fortran and C implementing statistical methods which are freely available on the Internet. The codes are chosen for their potential utility for research in astronomy and other physical sciences. - http://astrostatistics.psu.edu/statcodes/ STARPAC - Statistical & Time Series Package - Fortran 77 code for times series and least-squares regression including nonlinear regression. - http://www.cisl.ucar.edu/softlib/STARPAC.html Multivariate normal or t-probabilities - Fortran and SAS/IML programs by Frank Bretz. - http://www.biostat.uni-hannover.de/staff/bretz/ Group Sequential Tests - Programs from book by Christopher Jennison. - http://people.bath.ac.uk/mascj/book/programs/general Smoothing splines - Fortran 90 routines by Ian Enting for calculating smoothing splines and propagating data uncertainties to obtain uncertainty ranges for the spline fits. - http://www.ms.unimelb.edu.au/~enting/spline.html Studies of Random Numbers - Fortran 77 codes by Ilpo Vattulainen. - http://www.helsinki.fi/~vattulai/rngs.html Option Pricing - Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model. - http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts/kou.f StatLib---Software and extensions for the S (Splus) language - Links to many packages with Fortran source. - http://lib.stat.cmu.edu/S/ A Bounded Influence Estimation and Outlier Detection for ARCH/GARCH Models With an Application to Foreign Exchange Rates - By Chihwa Kao. - http://www.maxwell.syr.edu/maxpages/faculty/cdkao/working/program.zip Bayesian estimation of affine models - Fortran 77 code by Chris Lamoureux. - http://finance.eller.arizona.edu/lam/rsrch/expdfap.txt ISOPAC - CLUSPAC for cluster analysis, TSPAC for time-series segmentation, and IMPAC for segmenting digital images, by Stanley L. Sclove. - http://www.uic.edu/classes/idsc/ids594/ISOPAC/home.htm Rule Learning - Code estimates the population rule learning model on experimental data. - http://www.eco.utexas.edu/Homepages/Graduate/Haruvy/experimental/rlindx.htm SPECTRUM - Analogue data is collected and digitized with an A/D converter. Having then a collection of digitized time series which reside in the computer, this program calculate amplitude density, autospectral (power) density and cross-spectral density functions fro - http://archives.math.utk.edu/software/msdos/numerical.analysis/spectr21/.html Classical Item Analysis - Program by Seock-Ho Kim for classical item analysis for tests that consist of multiple-choice or true-false items. In addition to item statistics for each item response, the program provides summary statistics of the total score, coefficient alpha, and te - http://shkim.myweb.uga.edu/epm99.htm Department of Economics Data & Software - Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss. - http://econ.ucsd.edu/publications/ARCH.shtml Parallel Random Forests (PARF) - Fortran 90 for a classification algorithm. - http://www.irb.hr/en/research/projects/it/2004/2004-111/ ISMLIB Software - Institute of Statistical Mathematics Software & Data Library. - http://www.ism.ac.jp/ismlib/soft_e.html Tobit and Adjusted Maximum Likelihood Estimation - Fortran 77 code and documentation by Tim Cohn. - http://www159.pair.com/cohns/TimCohn/TAC_Software/Tobit/ Uniform and Normal Random Number Generators - By Richard P. Brent, in Fortran 77. - http://web.comlab.ox.ac.uk/oucl/work/richard.brent/random.html Autoregressive to Anything (ARTA) - Code by Marne C. Cario and Barry L. Nelson to simulate stationary time series with arbitrary marginal distributions and feasible autocorrelation structure specified through lag p. - http://users.iems.northwestern.edu/~nelsonb/ARTA/ Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data - Fortran 77 programs by Yong Zeng. - http://mendota.umkc.edu/paper-tick.html Peter Green - Links to AutoRJ for reversible jump MCMC, Nmix for Bayesian analysis of univariate normal mixtures by MCMC, Cpt for Bayesian multiple change point analysis for point processes, and Dirichlet tessellation software. - http://www.stats.bris.ac.uk/~peter/ Fractal Analysis Programs of the National Simulation Resource - Programs available for (1) the generation of synthetic 1-dimensional signals that are simple fractional Brownian noise, and (2) analysis programs for determining the fractal dimension D (or the Hurst coefficient H, H = E + 1 - D, where E is the Euclidean - http://nsr.bioeng.washington.edu/Software/NSR_SW_fractal.html Simulation of Multinomial Probit Probabilities and Imputation - By Steven Stern. - http://www.people.virginia.edu/~sns5r/resint/imputstf/fortran.html Fast Statistical Methods - Fortran 90 and 77 codes by W.H. Press and G.B. Rybicki, for fast inversion matrices of an exponential form arising from autocorrelation functions of Ornstein-Uhlenbeck processes. - http://www.lanl.gov/DLDSTP/fast/ GCV - Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation. - http://www.netlib.org/gcv/index.html DIERCKX - Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection. - http://www.netlib.org/dierckx/index.html Stochastic Differential Equations - Fortran/Matlab program by Andrea Barreiro to integrate SDE's using Euler's method. - http://math.nyu.edu/phd_students/barreiro/projects.html Fortran Library - Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series. - http://www.johnny-lin.com/flib.html#math Cloud Slice - Fortran 77 and IDL codes for time series regression and detrending. - http://code916.gsfc.nasa.gov/Data_services/cloud_slice/regress.html Geophysical Data Analysis - Fortran 77 codes to estimate cross and power spectra by sine multitapers and to plot x-y data. - http://mahi.ucsd.edu/cathy/Classes/SIO223/SIO223.html Software for the Analysis of Binary Recurrent Events (SABRE) - Fortran 77 code. - http://www.cas.lancs.ac.uk/software/sabre3.1/sabre.html STSPAC - Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics. - http://www.itl.nist.gov/div898/software/reeves/homepage.htm DATAPAC - Fortran 77 statistical library by James Filliben. - http://www.itl.nist.gov/div898/software/datapac/homepage.htm cSVM - Fortran 95 program for the training and model selection of a Support Vector Machine for binary classification tasks. - http://www.smartlab.dibe.unige.it//smartlab/software/software.shtml Neural Network Freeware - Fortran 90 code using the backpropagation algorithm to fit a neural network to pairs of input vectors and target vectors. Numerical Recipes code is used for singular value decomposition. - http://mensch.org/neural/ Gaussian Random Number Generator - Code to generate autocorrelated Gaussian variates by S. Tim Hatamian. - http://www.fortran.com/fm_gauss.html Richard Chandler's software - Fortran 77 code for random number generation (uniform, exponential, normal, binomial, poisson, geometric, gamma, beta, negative binomial and Weibull), and GLIMCLIM (Generalised Linear Modelling of daily climate sequences). - http://www.homepages.ucl.ac.uk/~ucakarc/work/index.html Demo Fortran90 Multilayer Perceptron Backprop Code - By Phil Brierley. A genetic algorithm code is at http://www.philbrierley.com/main.html&code/gafortran.html&code/codeleft.html . - http://www.philbrierley.com/main.html?code/fortran.html&code/codeleft.html WWZ and TS - TS is a time series statistical program for analyzing variable star data. WWZ is a time series analysis program used to study the time-evolution of variable star data, capable of measuring changes in period, amplitude, and mean magnitude. - http://www.aavso.org/data/software/wwztsfort.shtml Data Analysis - Fortran 77 codes by Volker Blobel for sorting, linear algebra, random number generation, least squares fitting with constraints and with many variables, and unfolding of measured distributions. - http://www.desy.de/~blobel/ TULSIM - Fortran 77 programs and Windows binaries by M. T. Boswell to generate random numbers and compute the cumulative and inverse cumulative distribution functions for several statistical distributions. - http://ftp.aset.psu.edu/pub/ger/fortran/tulsim.zip Quantiles of the Multivariate Studentized Range Procedure - By Otto Schwalb. - http://www.stat.rice.edu/~schwalb/ Computer Intensive Statistical Methods - Fortran 77 programs from book by Urban Hjorth: cross validation of forward selection, forward validation, and bootstrapping. - http://www.math.chalmers.se/~hjorth/cism.html Mersenne Twister - Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa. - http://homepage.esoterica.pt/~jrfsousa/fortran.html Non-Negative Least Squares (NNLS) - Codes in Fortran 77, 90, C, IDL, and Matlab. - http://hesperia.gsfc.nasa.gov/~schmahl/nnls/ CANOCO - Program for canonical community ordination by [partial] [detrended] [canonical] correspondence analysis, principal components analysis and redundancy analysis. [Commercial] - http://www.microcomputerpower.com/catalog/canoco.html ALSCAL - Fortran code by Forrest W. Young for multidimensional scaling. - http://forrest.psych.unc.edu/research/alscal.html Numerical Methods for Estimation and Inference in Bayesian VAR-models - Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson. - http://qed.econ.queensu.ca/jae/1997-v12.2/kadiyala-karlsson/ Bispectrum Test - Code for bispectrum test of Melvin Hinich. - http://econwpa.wustl.edu/eprints/prog/papers/9603/9603001.abs Fair-Parke Program - Allows one to estimate and analyze dynamic, nonlinear, simultaneous equations models. The models can be rational expectations models, and they can have autoregressive errors of any order. The estimation techniques include OLS, 2SLS, 3SLS, FIML, LAD, 2SLAD - http://fairmodel.econ.yale.edu/fp/fp.htm Lyapunov Exponent of Noisy Nonlinear Systems (LENNS) - Fortran 77 code for paper by Ronald Gallant. - http://econwpa.wustl.edu/eprints/prog/papers/9603/9603002.abs ODRPACK: Software for Orthogonal Distance Regression - Solves the Orthogonal Distance Regresson (ODR) problem, that is, to find parameter estimates that minimize the sum of the squares of the weighted orthogonal distances between each observed data point and the curve described by a nonlinear equation. - http://www.boulder.nist.gov/mcsd/Staff/JRogers/odrpack.html Exact Confidence Bounds on a Normal Distribution Coefficient of Variation - Obtains a two-sided confidence interval on a coefficient of variation for data from a normal distribution. - http://www1.fpl.fs.fed.us/covnorm.code.html Nonparametric Estimation - Calculates nonparametric estimates of percentiles, associated confidence intervals, and tolerance limits of the percentiles from a data set. It can also give the order statistics needed for any sample size to create the same estimates. - http://www1.fpl.fs.fed.us/nonpar.html Tight T - Program to determine appropriate sample sizes, allocate specimens, and analyze results in the case in which a response predictor is used to sort the specimens prior to treatment. - http://www1.fpl.fs.fed.us/papers.html#Tight_T Predictor Sort Confidence Interval Simulation - Program by Steve Verrill that performs a simulation to test how well corrected confidence intervals based on blocked and unblocked ANOVAs perform in a predictor sort sampling ANOVA. It also estimates coverages for confidence intervals based on an analysis - http://www1.fpl.fs.fed.us/psconf.html Raw General Linear Model (GLM) - Code to accompany paper "Rolling Your Own: Linear Model Hypothesis Testing and Power Calculations via the Singular Value Decomposition". - http://www1.fpl.fs.fed.us/glm.html Geostatistical Software LIBrary (GSLIB) - Codes in Fortran 90 and 77. Accompanies the book "GSLIB: Geostatistical Software Library and User's Guide" by Clayton Deutsch and André Journel. - http://www.gslib.com/ Phil Everson research - TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions. - http://www.swarthmore.edu/NatSci/peverso1 Mersenne Twister in Fortran - Random number generators in Fortran. - http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/VERSIONS/FORTRAN/fortran.html Bayesian Analysis, Computation and Communication (BACC) - By John Geweke. - http://www2.cirano.qc.ca/~bacc/bacc98/index.html SNP: A Program for Nonparametric Time Series Analysis - Code by A. Ronald Gallant and George Tauchen for nonparametric time series analysis that employs a Hermite polynomial series expansion to approximate the conditional density of a multivariate process. - http://www.econ.duke.edu/~get/snp.html James MacKinnon - Fortran codes for cointegration tests and other time series topics. - http://qed.econ.queensu.ca/pub/faculty/mackinnon/ Statistical Computing - Fortran 90 and Matlab codes for course by Lynne Seymour. - http://www.stat.uga.edu/~seymour/8060/course.html Permutation Methods: A Distance Function Approach - Code for book by Paul W. Mielke Jr. and Kenneth J. Berry. - http://www.stat.colostate.edu/~mielke/permute.html Monte Carlo Methods in Bayesian Computation - Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim. - http://merlot.stat.uconn.edu/~mhchen/mcbook/ University of California, Berkeley, Econometrics Laboratory Fortran Software - Econometrics codes. - http://elsa.berkeley.edu/fortran_progs.shtml VPLX: Variance Estimation for Complex Samples - Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication. - http://www.census.gov/sdms/www/vwelcome.html Simulating stationary and non-stationary Gaussian random processes - By Grace Chan. - http://www.stat.uiowa.edu/~grchan/index.html#research I-NoLLS Least-Squares Fitting Program - Fits the parameters of physical models to (experimental) data using an Interactive Non-Linear Least Squares procedure. The code, by Mark M. Law and Jeremy M. Hutson, is designed to be highly modular. - http://www.abdn.ac.uk/~che194/research/inolls/index.html Smoothing Splines - RKPACK and RKPACK-II are collections of RATFOR (rational FORTRAN) routines by Chong Gu for Gaussian regression using smoothing splines, penalized likelihood density and hazard estimation. - http://www.stat.purdue.edu/~chong/software.html Simultaneous Nonparametric Regression - By Laurie Davies. - http://wwwstat.mathematik.uni-essen.de/~davies/cmprnprg.html Recipe: REGression Confidence Intervals for PErcentiles - Determines one-sided tolerance limits (in particular, A- and B-basis material property values) for regression models in the presence of between-batch variability. By Mark Vangel. - http://www.itl.nist.gov/div898/software/recipe/homepage.html Kalman smoothing routine for Hodrick-Prescott filter - By E. Prescott. - http://dge.repec.org/codes/hpfilter.for Multivariate Data Analysis - Code for principal components, partitioning, clustering, discriminant analysis, multidimensional scaling, Kohonen self-organizing map, sorting, errors-in-variable regression, minimal spanning trees, and GMDH, by Fionn Murtagh. - http://astro.u-strasbg.fr/~fmurtagh/mda-sw/ Logic Regression - In Fortran 77, by Ingo Ruczinski and Charles Kooperberg. Also incorporated into packages for R and S-PLUS. - http://bear.fhcrc.org/~ingor/logic/html/program.html Department of Biomathematics, University of Texas M. D. Anderson Hospital - Random numbers, distributions, and many more (dcflib, ranlib, ...) - http://odin.mdacc.tmc.edu/biomath/anonftp/ DFREML - Suite of programs to estimate (co)variance components or covariance functions, and the resulting genetic parameters, by Restricted Maximum Likelihood fitting an animal model, by K. Meyer. - http://agbu.une.edu.au/~kmeyer/dfreml.html Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator - By Wouter J. Denhaan. - http://econ.ucsd.edu/~wdenhaan/varhac.html Hypothesis Testing using Shape-Restricted Regression - Code for convex and monotone regression, by Mary C. Meyer. - http://www.stat.uga.edu/~mmeyer/codehyp.html Econometrics - Code for Bayesian analysis of long memory and persistence using ARFIMA models, benchmark priors for Bayesian model averaging, estimation of demand systems through consumption efficiency, model uncertainty in cross-country growth regressions, and Bayesian - http://www.kent.ac.uk/ims/personal/mfs/software.html Cubic Splines - Univariate and multivariate spline regression, by Dolph Schluter. - http://www.zoology.ubc.ca/~schluter/splines.html Nonlinear Time Series Analysis (TISEAN) - Code in C and Fortran for the analysis of time series with methods based on the theory of nonlinear deterministic dynamical systems (chaos). - http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.1/index.html SNOB - Mixture modelling by Minimum Message Length (MML). - ftp://ftp.cs.monash.edu.au/software/snob/Snob.README EMMIX - Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan. - http://www.maths.uq.edu.au/~gjm/emmix/EMMIX.f Model-Based Clustering Software (MCLUST/EMCLUST) - Model-based clustering, discriminant analysis, and density estimation including hierarchical clustering and EM for parameterized Gaussian mixtures + Poisson noise. Written in Fortran and interfaced to the S-PLUS commercial software package and the R langu - http://www.stat.washington.edu/fraley/software.html/ GARCH Estimates: Analytic Derivatives - By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics. - http://qed.econ.queensu.ca/jae/1996-v11.4/fiorentini-calzolari-panattoni/fcp-progs.zip StatLib Index - See Applied Statistics (algorithms of the Royal Statistical Society) and General Archives for a considerable amount of Fortran code. - http://lib.stat.cmu.edu/ Statistics - Code by Laurie Davies for modality of spectral densities, ANOVA, and nonparametric regression: runs, taut strings, and local extremes. - http://wwwstat.mathematik.uni-essen.de/~davies/ Spatial Statistics - Fortran 90 code by Kelley Pace. - http://www.spatial-statistics.com/software_index.htm Robust Statistics - Code for regression and covariance matrix estimation, from the Antwerp Group On Robust & Applied Statistics. - http://www.agoras.ua.ac.be/Robustn.htm Robust Estimation of Simple Statistics - By T. Beers, K. Flynn, and K. Gebhardt. - http://www.pa.msu.edu/ftp/pub/beers/posts/rostat/rostat.f Quality Control and Engineering Statistics code - For a course, authored by Karen Jensen, F. F. Gan, Stephen Crowder, Thomas Lorenzen, Keith Crawford, Andy Chiang, and Brandon L. Paris. - http://www.public.iastate.edu/~vardeman/stat531/531software.html Multivariate Analyses - Fortran 90 codes for univariate and multivariate random number generation, computation of simple statistics, covariance matrices, principal components analysis, multiple regression, and jacknife cross-validation, by Dan Hennen. - http://www.esg.montana.edu/eguchi/multivariate/#Fortran Monahan statistics code - Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan - http://www4.stat.ncsu.edu/~monahan/aug00/toc.htm Flexible Least Squares (FLS) - Developed by Robert E. Kalaba and Leigh Tesfatsion, implements the flexible least squares (FLS) approach to time-varying linear regression proposed by Kalaba and Tesfatsion in "Time-Varying Linear Regression Via Flexible Least Squares," Computer - http://www.econ.iastate.edu/tesfatsi/fls.htm DECORANA and TWINSPAN - Fortran 77 programs for correspondence analysis, by Jari Oksanen. - http://cc.oulu.fi/~jarioksa/softhelp/ceprog.html Cluster Analysis - Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with influence detection, by Glenn Milligan. - http://www.pitt.edu/~csna/Milligan/readme.html Clusfind - Complete code of six stand-alone Fortran programs for cluster analysis, described and illustrated in L. Kaufman and P.J. Rousseeuw (1990), "Finding Groups in Data: an Introduction to Cluster Analysis", Wiley. - http://www.stats.ox.ac.uk/~ripley/PRbook/clusfind Autoregressive model estimation - Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada. - http://www.uinet.or.jp/~ishiyasu/wada/Airc.f ARMA and Kalman Filter model estimation - By J. Newton - http://www.stat.tamu.edu/ftp/pub/jnewton/load.f AR and ARFIMA models - Tests for AR(1) Parameter in Regression Models with Autocorrelated Errors. Univariate and multivariate Bayesian ARFIMA. By Nalini Ravishanker and coworkers. - http://merlot.stat.uconn.edu/~nalini/programs.html |
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