Fortran 77 code by Peter M. Hooper.

Fortran 77 codes, some of which call Numerical Recipes.

Fortran code by Forrest W. Young for multidimensional scaling.

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.

Tests for AR(1) Parameter in Regression Models with Autocorrelated Errors. Univariate and multivariate Bayesian ARFIMA. By Nalini Ravishanker and coworkers.

By J. Newton

Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada.

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.

By John Geweke.

Fortran and S codes for neural networks and optimization.

Code for bispectrum test of Melvin Hinich.

Program for canonical community ordination by [partial] [detrended] [canonical] correspondence analysis, principal components analysis and redundancy analysis. [Commercial]

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.

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.

Fortran 90 codes.

A free combinatorial polythetic agglomerative hierarchical clustering Fortran 77 program. The source code, DOS- and Windows (all) versions are available. Don Boesch's original program enhanced by Eugene Gallagher.

Program designed to analyse mixtures of densities from the exponential family.

Fortran 77 programs from book by Urban Hjorth: cross validation of forward selection, forward validation, and bootstrapping.

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).

Fortran 95 program for the training and model selection of a Support Vector Machine for binary classification tasks.

Univariate and multivariate spline regression, by Dolph Schluter.

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.

Fortran 77 programs for correspondence analysis, by Jari Oksanen.

By Phil Brierley. A genetic algorithm code is at http://www.philbrierley.com/main.html&code/gafortran.html&code/codeleft.html .

Random numbers, distributions, and many more (dcflib, ranlib, ...)

Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss.

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.

Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection.

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.

Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling, and PDMATRIX makes matrices positive definite.

Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan.

Fortran 90 code by Geir Evensen.

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.

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.

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.

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).

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.

Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.

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.

By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics.

Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.

Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.

Fortran 77 codes to estimate cross and power spectra by sine multitapers and to plot x-y data.

Codes in Fortran 90 and 77. Accompanies the book "GSLIB: Geostatistical Software Library and User's Guide" by Clayton Deutsch and André Journel.

Programs from book by Christopher Jennison.

By Wouter J. Denhaan.

Code for convex and monotone regression, by Mary C. Meyer.

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.

Fortran codes for cointegration tests and other time series topics.

By E. Prescott.

In Fortran 77, by Ingo Ruczinski and Charles Kooperberg. Also incorporated into packages for R and S-PLUS.

Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side matrix that is large and sparse.

Fortran 77 code for paper by Ronald Gallant.

Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa.

Random number generators in Fortran.

By Michael C. Minnotte. Uses a random number generator (RNG) from NAG, but another RNG can be used.

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.

Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan

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.

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.

Fortran 90 code by Paul N. Somerville, appearing in the Journal of Statistical Software volume 3.

Fortran and SAS/IML programs by Frank Bretz.

Fortran and C codes by H. Joe to accompany paper.

Fortran 77 code by S. Sathiya Keerthi to accompany paper "A Fast Iterative Nearest Point Algorithm for Support Vector Machine Classifier Design".

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.

Codes in Fortran 77, 90, C, IDL, and Matlab.

Code in C and Fortran for the analysis of time series with methods based on the theory of nonlinear deterministic dynamical systems (chaos).

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.

Code for Monte Carlo simulation with discrete and continuous outcomes, by Tom Mroz.

Local polynomial regression fitting with ridging, kernel regression fitting with local and global bandwidth optimization, and kernel density estimation with global bandwidth selection.

Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson.

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.

Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model.

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.

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).

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.

Fortran 77 and C++ code for book by T. W. Epps, in a zip file.

Robust regression.

Fortran 77 code by Ruey Tsay to calculate the portmanteau statistic for multivariate time series regression.

For a course, authored by Karen Jensen, F. F. Gan, Stephen Crowder, Thomas Lorenzen, Keith Crawford, Andy Chiang, and Brandon L. Paris.

By Otto Schwalb.

KISS RNG by George Marsaglia

Code to accompany paper "Rolling Your Own: Linear Model Hypothesis Testing and Power Calculations via the Singular Value Decomposition".

Fortran 77 code for ROC analysis, which is appropriate in situations where there are 2 possible "truth states" (i.e., diseased/normal, event/non-event, or some other binary outcome), "truth" is known for each case, and "truth" is determined independently of the diagnostic tests / predictor variables / etc. under study.

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.

Fortran 77 code for the Mann & Lees Multi-Taper Method (MTM) and Mann & Park MTM-SVD Multivariate Signal Analysis.

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).

By T. Beers, K. Flynn, and K. Gebhardt.

Code for regression and covariance matrix estimation, from the Antwerp Group On Robust & Applied Statistics.

By Vassilis Hajivassiliou.

By Grace Chan.

By John Geweke.

By Steven Stern.

By Laurie Davies.

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).

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.

Fortran 77 code and Windows executables for fitting Johnson distributions, Poisson processes, and other topics. By James R. Wilson.

Fortran 77 code.

Fortran 90 code by Kelley Pace.

Fortran 77 code for times series and least-squares regression including nonlinear regression.

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.

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.

Fortran 90 and Matlab codes for course by Lynne Seymour.

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.

Code by Laurie Davies for modality of spectral densities, ANOVA, and nonparametric regression: runs, taut strings, and local extremes.

See Applied Statistics (algorithms of the Royal Statistical Society) and General Archives for a considerable amount of Fortran code.

Software for numerical solution of stochastic differential equations such as those which arise in Black-Scholes theory and its generalizations. Must be linked with Fortran 77 code compiled with g77.

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 codes by Ilpo Vattulainen.

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.

By Hossein Arsham. ?

Software by Raquel Prado and Mike West for fitting, analysis and exploration of time series using classes of TVAR's.

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.

Econometrics codes.

Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication.

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.

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.

By Tal Alexander.