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SNOB
Mixture modelling by Minimum Message Length (MML).
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.
RRGIBBS
Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling, and PDMATRIX makes matrices positive definite.
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 from these input time series.
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.
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.
Logic Regression
In Fortran 77, by Ingo Ruczinski and Charles Kooperberg. Also incorporated into packages for R and S-PLUS.
DECORANA and TWINSPAN
Fortran 77 programs for correspondence analysis, by Jari Oksanen.
Cloud Slice
Fortran 77 and IDL codes for time series regression and detrending.
Kalman smoothing routine for Hodrick-Prescott filter
By E. Prescott.
Department of Economics Data & Software
Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss.
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
By Wouter J. Denhaan.
Bispectrum Test
Code for bispectrum test of Melvin Hinich.
Lyapunov Exponent of Noisy Nonlinear Systems (LENNS)
Fortran 77 code for paper by Ronald Gallant.
University of California, Berkeley, Econometrics Laboratory Fortran Software
Econometrics codes.
Ensemble Kalman Filter (EnKF)
Fortran 90 code by Geir Evensen.
Option Pricing
Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model.
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, and some versions of Hansen's method of moments estimator.
Bayesian estimation of affine models
Fortran 77 code by Chris Lamoureux.
ALSCAL
Fortran code by Forrest W. Young for multidimensional scaling.
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.
Non-Negative Least Squares (NNLS)
Codes in Fortran 77, 90, C, IDL, and Matlab.
Research Tools Developed by the Mann Group
Fortran 77 code for the Mann and Lees Multi-Taper Method (MTM) and Mann and Park MTM-SVD Multivariate Signal Analysis.
Mersenne Twister
Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa.
Garland B. Durham
Fortran 95 code to estimate of continuous-time diffusion processes, including stochastic volatility models.
StatLib---Software and extensions for the S (Splus) language
Links to many packages with Fortran source.
StatLib Index
See Applied Statistics (algorithms of the Royal Statistical Society) and General Archives for a considerable amount of Fortran code.
Geophysical Data Analysis
Fortran 77 codes to estimate cross and power spectra by sine multitapers and to plot x-y data.
Stochastic Differential Equations
Fortran/Matlab program by Andrea Barreiro to integrate SDE's using Euler's method.
Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data
Fortran 77 programs by Yong Zeng.
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.
Monte Carlo Methods in Bayesian Computation
Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim.
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.
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 dimension) from a simple fractal time series, i.e. a 1-dimensional signal.
Department of Biomathematics, University of Texas M. D. Anderson Hospital
Random numbers, distributions, and many more (dcflib, ranlib, ...)
Group Sequential Tests
Programs from book by Christopher Jennison.
GARCH Estimates: Analytic Derivatives
By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics.
Numerical Methods for Estimation and Inference in Bayesian VAR-models
Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson.
James MacKinnon
Fortran codes for cointegration tests and other time series topics.
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 test scoring results. The cross classification of quintile group by item response can be obtained optionally. The program can be obtained from the author.
Multivariate Normal Rectangle Probabilities
Fortran and C codes by H. Joe to accompany paper.
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.
Uniform and Normal Random Number Generators
By Richard P. Brent, in Fortran 77.
Progress
Robust regression.
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.
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.
Robust Statistics
Code for regression and covariance matrix estimation, from the Antwerp Group On Robust and Applied Statistics.
Multivariate normal or t-probabilities
Fortran and SAS/IML programs by Frank Bretz.
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.
Software for the Analysis of Binary Recurrent Events (SABRE)
Fortran 77 code.
VPLX: Variance Estimation for Complex Samples
Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication.
STARPAC - Statistical & Time Series Package
Fortran 77 code for times series and least-squares regression including nonlinear regression.
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.
Rule Learning
Code estimates the population rule learning model on experimental data.
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.
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," Computers and Mathematics With Applications 17 (1989), 1215-1245. The FLS program has been incorporated into the statistical packages SHAZAM (Version 8.0) and GAUSS (TSM version 1.2).
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.
Gaussian Random Number Generator
Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.
Random Number Generator
KISS RNG by George Marsaglia
Generalized Maximum Entropy Leuven Estimator (MEL) under Severe Multicollinearity Conditions : A Computer Program
Fortran 77 code to compute the estimators of multiple regression parameters by a family of Maximum Entropy Leuven Estimators under severe multicollinearity.
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.
Studies of Random Numbers
Fortran 77 codes by Ilpo Vattulainen.
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).
Parallel Random Forests (PARF)
Fortran 90 for a classification algorithm.
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.
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.
ISMLIB Software
Institute of Statistical Mathematics Software and Data Library.
DATAPAC
Fortran 77 statistical library by James Filliben.
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.
STSPAC
Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics.
Fortran Library
Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.
PIRLS
Poisson Iteratively Reweighted Least Squares Program for Additive, Multiplicative, Power, and Non-linear Models, by Leif E. Peterson, Journal of Statistical Software v2 (1997).
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.
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 modelling of catch in a Northwest Atlantic Fishery, by Mark Steel.
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.
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 estimates trends in the occurrence rate of extreme weather and climate events.
Computer Intensive Statistical Methods
Fortran 77 programs from book by Urban Hjorth: cross validation of forward selection, forward validation, and bootstrapping.
Mersenne Twister in Fortran
Random number generators in Fortran.
EMMIX
Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan.
A Bounded Influence Estimation and Outlier Detection for ARCH/GARCH Models With an Application to Foreign Exchange Rates
By Chihwa Kao.
CANOCO
Program for canonical community ordination by [partial] [detrended] [canonical] correspondence analysis, principal components analysis and redundancy analysis. [Commercial]
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).
Smoothing splines
Fortran 90 routines by Ian Enting for calculating smoothing splines and propagating data uncertainties to obtain uncertainty ranges for the spline fits.
RedFit
Fortran 90 code by Michael Schulz and Manfred Mudelsee to estimate red-noise spectra directly from unevenly spaced time series, without requiring interpolation.
DIERCKX
Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection.
GCV
Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.
Robust Estimation of Simple Statistics
By T. Beers, K. Flynn, and K. Gebhardt.
Simulation of Multinomial Probit Probabilities and Imputation
By Steven Stern.
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 .
Cluster Analysis
Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with influence detection, by Glenn Milligan.
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.
Clustering
Fortran 90 codes.
cSVM
Fortran 95 program for the training and model selection of a Support Vector Machine for binary classification tasks.
Spatial Statistics
Fortran 90 code by Kelley Pace.
LSQR
Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side matrix that is large and sparse.
Permutation Methods: A Distance Function Approach
Code for book by Paul W. Mielke Jr. and Kenneth J. Berry.
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.
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.
Quantiles of the Multivariate Studentized Range Procedure
By Otto Schwalb.
ARMA and Kalman Filter model estimation
By J. Newton
Adaptive Logistic Basis Function Regression (ALB)
Fortran 77 code by Peter M. Hooper.
Hypothesis Testing using Shape-Restricted Regression
Code for convex and monotone regression, by Mary C. Meyer.
Statistical Computing
Fortran 90 and Matlab codes for course by Lynne Seymour.
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 language. By Chris Fraley and Adrian Raftery.
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.
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.
Phil Everson research
TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions.
ISOPAC
CLUSPAC for cluster analysis, TSPAC for time-series segmentation, and IMPAC for segmenting digital images, by Stanley L. Sclove.
Autoregressive model estimation
Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada.
Tobit and Adjusted Maximum Likelihood Estimation
Fortran 77 code and documentation by Tim Cohn.
Bayesian Analysis, Computation and Communication (BACC)
By John Geweke.
Monahan statistics code
Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan
Statistics
Code by Laurie Davies for modality of spectral densities, ANOVA, and nonparametric regression: runs, taut strings, and local extremes.
Simultaneous Nonparametric Regression
By Laurie Davies.
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.
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