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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
ARMA and Kalman Filter model estimation
By J. Newton
http://stat.tamu.edu/ftp/pub/jnewton/load.f
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
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
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
Computer Assisted Analysis of Mixtures (C.A.MAN)
Program designed to analyse mixtures of densities from the exponential family.
http://ftp.ukbf.fu-berlin.de/sozmed/caman.html
DECORANA and TWINSPAN
Fortran 77 programs for correspondence analysis, by Jari Oksanen.
http://cc.oulu.fi/~jarioksa/softhelp/ceprog.html
COVAR
Computer Program for Multifactor Relative Risks and Tests of Hypotheses Using a Variance-Covariance Matrix from Linear and Log-Linear Regression, by Leif E. Peterson, Journal of Statistical Software v2 (1997).
http://www.jstatsoft.org/v02/i04/
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).
http://www.econ.iastate.edu/tesfatsi/fls.htm
Fortran Code for L-p Distance Statistic
Subroutines by David Allen to calculate the L-1 and L-2 distances between two density estimates. The L-1 statistic has been used successfully to testing the hypothesis that two samples come from the same distribution.
http://www.eou.edu/~dallen/lp_dist_code.html
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
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
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/v03/i04/
Nonparametric Statistics
Local polynomial regression fitting with ridging, kernel regression fitting with local and global bandwidth optimization, and kernel density estimation with global bandwidth selection.
http://www.unizh.ch/biostat/Software/
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).
http://www.jstatsoft.org/v02/i05/
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
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
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
Spatial Statistics
Fortran 90 code by Kelley Pace.
http://www.spatial-statistics.com/software_index.htm
STARPAC - Statistical & Time Series Package
Fortran 77 code for times series and least-squares regression including nonlinear regression.
http://www.scd.ucar.edu/softlib/STARPAC.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.ohio-state.edu/~tjs/
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/
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/
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
Finite Mixtures
NOCOM estimates the parameters (means, variance, proportions of components) of a mixture of normal distributions for independent observations (quantitative data). COMPMIX assumes a mixture of normal distributions, with parameters for each component in that mixture. The COMPMIX program then calculates the conditional probability, given an observed value, that it belongs to the i-th component.
http://linkage.rockefeller.edu/ott/nocom.htm
SNOB
Mixture modelling by Minimum Message Length (MML).
ftp://ftp.cs.monash.edu.au/software/snob/Snob.README
Time Series Analysis and Forecasting Techniques
By Hossein Arsham. Â
http://obelia.jde.aca.mmu.ac.uk/resdesgn/arsham/opre330Forecast.htm
Simulation from the Multivariate Normal and t Distributions Subject to Linear Constraints
By John Geweke.
http://www.biz.uiowa.edu/faculty/jgeweke/papers/paper47/eff.f
Studies of Random Numbers
Fortran 77 codes by Ilpo Vattulainen.
http://www.physics.helsinki.fi/~vattulai/rngs.html
Time-Varying Autoregression (TVAR)
Software by Raquel Prado and Mike West for fitting, analysis and exploration of time series using classes of TVAR's.
http://www.stat.duke.edu/~mw/tvar.html
Z-transformed Discrete Correlation Function algorithm (ZDCF)
By Tal Alexander.
http://www.weizmann.ac.il/home/tal/zdcf/zdcf_v1.2.f
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
University of California, Berkeley, Econometrics Laboratory Fortran Software
Econometrics codes.
http://elsa.berkeley.edu/fortran_progs.shtml
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/
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
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://www.astro.psu.edu/statcodes/
Statistical Computing
Fortran 90 and Matlab codes for course by Lynne Seymour.
http://www.stat.uga.edu/~seymour/8060/course.html
Department of Economics Data & Software
Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss.
http://econ.ucsd.edu/software/ARCH.html
Nonparametric Kernel Regression
Code for Monte Carlo simulation with discrete and continuous outcomes, by Tom Mroz.
http://www.unc.edu/~mroz/programs.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
Cubic Splines
Univariate and multivariate spline regression, by Dolph Schluter.
http://www.zoology.ubc.ca/~schluter/splines.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 modelling of catch in a Northwest Atlantic Fishery, by Mark Steel.
http://www.kent.ac.uk/ims/personal/mfs/software.html
Econometrics
Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling, and PDMATRIX makes matrices positive definite.
http://agbu.une.edu.au/~kmeyer/rrg_main.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
James MacKinnon
Fortran codes for cointegration tests and other time series topics.
http://qed.econ.queensu.ca/pub/faculty/mackinnon/
Mode Testing
By Michael C. Minnotte. Uses a random number generator (RNG) from NAG, but another RNG can be used.
http://math.usu.edu/~minnotte/research/software/tme.f
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 of covariance, and for confidence intervals based on uncorrected blocked and unblocked ANOVAs.
http://www1.fpl.fs.fed.us/psconf.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
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
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
Andrew Jeffrey's Fortran 90 routines
Routines for i) the calculation of some linear algebra ii) non-linear minimization, iii) numerical integration and differentiation, iv) random number generation from a Normal distribution with mean zero and variance one, and v) the implementation of the Generalized Method of Moments statistical estimation procedure.
http://mayet.som.yale.edu/~amj23/f90.htm
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.
http://www.arches.uga.edu/~shkim/epm99.htm
LSQR
Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side matrix that is large and sparse.
http://www.stanford.edu/group/SOL/software/lsqr/f77/
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
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
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.
http://fairmodel.econ.yale.edu/fp/fp.htm
Bispectrum Test
Code for bispectrum test of Melvin Hinich.
http://econwpa.wustl.edu/eprints/prog/papers/9603/9603001.abs
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.ngdc.noaa.gov/paleo/softlib/redfit/redfit.html
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.
http://www.uni-leipzig.de/~meteo/MUDELSEE/
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/
Nearest Point Algorithm (NPA) for Dense Kernels
Fortran 77 code by S. Sathiya Keerthi to accompany paper "A Fast Iterative Nearest Point Algorithm for Support Vector Machine Classifier Design".
http://guppy.mpe.nus.edu.sg/~mpessk/npa.f
Option Pricing
Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model.
http://gsbwww.uchicago.edu/fac/ruey.tsay/teaching/fts/kou.f
ALSCAL
Fortran code by Forrest W. Young for multidimensional scaling.
http://forrest.psych.unc.edu/research/alscal.html
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
BIO 248 Programs
Fortran and S codes for neural networks and optimization.
http://icommons.harvard.edu/~hsph-bio248-01/Software/
Pricing Derivative Securities
Fortran 77 and C++ code for book by T. W. Epps, in a zip file.
http://www.worldscientific.com/books/4415.zip
Non-Negative Least Squares (NNLS)
Codes in Fortran 77, 90, C, IDL, and Matlab.
http://hesperia.gsfc.nasa.gov/~schmahl/nnls/
Mersenne Twister
Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa.
http://homepage.esoterica.pt/~jrfsousa/fortran.html
Clustering
Fortran 90 codes.
http://www.sissa.it/dataclustering/bretton_woods.html
Classification Algorithms
Programs by Allan D. Gordon for hierarchical classification of data using one of four standard clustering procedures (single link, group average link, Ward's method, complete link) and other topics in classification.
http://www-solar.mcs.st-and.ac.uk/~allan/Software.html
Group Sequential Tests
Programs from book by Christopher Jennison.
http://www.bath.ac.uk/~mascj/book/programs/general
Qstat
Fortran 77 code by Ruey Tsay to calculate the portmanteau statistic for multivariate time series regression.
http://www.gsb.uchicago.edu/fac/ruey.tsay/teaching/fts/qstat.f
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
Quantiles of the Multivariate Studentized Range Procedure
By Otto Schwalb.
http://www.stat.rice.edu/~schwalb/
Multivariate Normal Rectangle Probabilities
Fortran and C codes by H. Joe to accompany paper.
http://tigger.smu.edu.sg/software/mnp-stuff/stat.ubc.ca/
Wes' programs page
Fortran 77 codes by W. J. Metzger to construct a minimum spanning tree and calculate a confidence level for the hypothesis that two sets of points are from the same distribution.
http://metzger.home.cern.ch/metzger/programs.html
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
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/
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
Demo Fortran90 Multilayer Perceptron Backprop Code
By Phil Brierley. A genetical 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
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.evsc.virginia.edu/Mann/tools/tools.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.ie.ncsu.edu/jwilson/page3.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
Gaussian Random Number Generator
Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.
http://www.fortran.com/fm_gauss.html
Ahlquist Time Series Analysis
Fortran 77 codes, some of which call Numerical Recipes.
http://www.met.fsu.edu/ftp/ahlquist/time_series_analysis/
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.nwu.edu/~nelsonb//ARTA/
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
Bayesian Analysis, Computation and Communication (BACC)
By John Geweke.
http://www2.cirano.qc.ca/~bacc/bacc98/index.html
Mersenne Twister in Fortran
Random number generators in Fortran.
http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/VERSIONS/FORTRAN/fortran.html
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
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/
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
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
By Wouter J. Denhaan.
http://econ.ucsd.edu/~wdenhaan/varhac.html
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
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/
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
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/
Progress
Robust regression.
http://www.wis.kuleuven.ac.be/stat/Programs/progress.f
Kalman smoothing routine for Hodrick-Prescott filter
By E. Prescott.
http://dge.repec.org/codes/hpfilter.for
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
Simultaneous Nonparametric Regression
By Laurie Davies.
http://wwwstat.mathematik.uni-essen.de/~davies/cmprnprg.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
Multivariate normal or t-probabilities
Fortran and SAS/IML programs by Frank Bretz.
http://www.bioinf.uni-hannover.de/~bretz/
Simulating Rectangle Multivariate Normal Probabilities and Derivatives
By Vassilis Hajivassiliou.
http://econ.lse.ac.uk/~vassilis/pub/simulation/fortran/
Random Number Generator
KISS RNG by George Marsaglia
http://www.fortran.com/kiss.f90
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
Simulating stationary and non-stationary Gaussian random processes
By Grace Chan.
http://www.stat.uiowa.edu/~grchan/index
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