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Statistics and Econometrics
Computers: Algorithms: Pseudorandom Numbers
Science: Math: Statistics: Software
Adaptive Logistic Basis Function Regression (ALB)
- Fortran 77 code by Peter M. Hooper.
- Fortran code by Forrest W. Young for multidimensional scaling.
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.
ARMA and Kalman Filter model estimation
- By J. Newton
Autoregressive model estimation
- Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada.
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.
Bayesian estimation of affine models
- Fortran 77 code by Chris Lamoureux.
A Bounded Influence Estimation and Outlier Detection for ARCH/GARCH Models With an Application to Foreign Exchange Rates
- By Chihwa Kao.
- Program for canonical community ordination by [partial] [detrended] [canonical] correspondence analysis, principal components analysis and redundancy analysis. [Commercial]
- Fortran 77 and IDL codes for time series regression and detrending.
- 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.
- Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with influence detection, by Glenn Milligan.
- A program for multifactor relative risks, confidence limits, and tests of hypotheses using regression coefficients and a variance-covariance matrix obtained from a previous additive or multiplicative regression analysis. By Leif E. Peterson, with accompanying paper.
- 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.
- Fortran 77 statistical library by James Filliben.
DECORANA and TWINSPAN
- Fortran 77 programs for correspondence analysis, by Jari Oksanen.
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 .
- Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection.
Dolph Schluter's Software
- Includes a Fortran 77 program for univariate and multivariate cubic spline regression.
- 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.
- Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan.
Ensemble Kalman Filter (EnKF)
- Fortran 90 code by Geir Evensen.
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.
- 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.
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.
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).
- Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.
Fractal Analysis Programs of the National Simulation Resource
- Programs for the generation of synthetic 1-dimensional signals that are simple fractional Brownian noise and for determining the fractal dimension D from a simple fractal time series.
GARCH Estimates: Analytic Derivatives
- By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics.
Garland B. Durham
- Fortran 95 code to estimate of continuous-time diffusion processes, including stochastic volatility models.
Gaussian Random Number Generator
- Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.
- Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.
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.
Group Sequential Tests
- Programs from book by Christopher Jennison.
- Institute of Statistical Mathematics Software and Data Library.
- CLUSPAC for cluster analysis, TSPAC for time-series segmentation, and IMPAC for segmenting digital images, by Stanley L. Sclove.
- Fortran codes for cointegration tests and other time series topics.
Kalman smoothing routine for Hodrick-Prescott filter
- By E. Prescott.
Mersenne Twister in Fortran
- Random number generators in Fortran.
Monahan statistics code
- Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan
Monte Carlo Methods in Bayesian Computation
- Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim.
- 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.
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.
Multivariate normal or t-probabilities
- Fortran and SAS/IML programs by Frank Bretz.
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.
Non-Negative Least Squares (NNLS)
- Codes in Fortran 77, 90, C, IDL, and Matlab.
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).
NONPAR: Nonparametric Estimation Program
- Calculates nonparametric estimates of percentiles, associated confidence intervals, and tolerance limits of the percentiles from a data set. Also calculates the order statistics needed for any sample size to create the same estimates. Includes source code and web-based interfaces for executing the programs.
Numerical Methods for Estimation and Inference in Bayesian VAR-models
- Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson.
- Solves the weighted orthogonal distance regression problem 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. Includes documentation, revision history, and source code.
Permutation Methods: A Distance Function Approach
- Code for book by Paul W. Mielke Jr. and Kenneth J. Berry.
- 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.
Phil Everson research
- TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions.
- Poisson Iteratively Reweighted Least Squares Program for Additive, Multiplicative, Power, and Non-linear Models, by Leif E. Peterson, Journal of Statistical Software v2 (1997).
Predictor Sort Confidence Interval Simulation
- Performs a simulation to evaluate the performance of corrected confidence intervals based on blocked and unblocked ANOVAs in a predictor sort sampling ANOVA. Also estimates coverages for confidence intervals based on an analysis of covariance, and for confidence intervals based on uncorrected blocked and unblocked ANOVAs.
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.
Quantiles of the Multivariate Studentized Range Procedure
- By Otto Schwalb.
Random Number Generator
- KISS RNG by George Marsaglia
Raw General Linear Model Code
- Code for linear model hypothesis testing and power calculations via the singular value decomposition.
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.
- Fortran 90 code by Michael Schulz and Manfred Mudelsee to estimate red-noise spectra directly from unevenly spaced time series, without requiring interpolation.
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.
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).
Robust Estimation of Simple Statistics
- By T. Beers, K. Flynn, and K. Gebhardt.
Simulation of Multinomial Probit Probabilities and Imputation
- By Steven Stern.
- 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.
- Mixture modelling by Minimum Message Length (MML).
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.
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.
Software for the Analysis of Binary Recurrent Events (SABRE)
- Fortran 77 code for the statistical analysis of multi-process random effect response data. These responses can take the form of binary, ordinal, count and linear recurrent events.
Some Uniform and Normal Random Number Generators
- Two pseudorandom number generators, ranut and rannw, written in Fortran 77 by Richard P. Brent and released under the GNU General Public License.
Source Code for the Tight T Program
- Free 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. Includes downloads for Solaris and DOS.
- Fortran 90 code by Kelley Pace.
- 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.
- 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.
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.
- 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.
- System for distributing statistical software, datasets, and information on the internet. Includes Applied Statistics algorithms (of the Royal Statistical Society) and a considerable amount of other Fortran code.
StatLib---Software and extensions for the S (Splus) language
- Links to many packages with Fortran source.
Stochastic Differential Equations
- Fortran/Matlab program by Andrea Barreiro to integrate SDE's using Euler's method.
- Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics.
- 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.
University of California, Berkeley, Econometrics Laboratory Fortran Software
- Econometrics codes.
VPLX: Variance Estimation for Complex Samples
- Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication.
Statistics and Econometrics
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