Statistics and Econometrics (118)
 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/
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. - http://www.freewebs.com/nehu_economics/nmel.html
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
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