Statistics and Econometrics Source Code Fortran Languages

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.

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• ARMA and Kalman Filter model estimation - By J. Newton
• Random Number Generator - KISS RNG by George Marsaglia
• Model-Based Clustering Software (MCLUST/EMCLUST) - Model-based clustering, discriminant analysis, and density estimation including source code hierarchical statistics and econometrics clustering and EM for parameterized Gaussian mixtures source code + Poisson statistics and econometrics noise. Written in Fortran and interfaced source code to the S-PLUS statistics and econometrics commercial software package and the source code R langu
• Bayesian estimation of affine models - Fortran 77 code by Chris Lamoureux.
• Richard Chandler's software - Fortran 77 code for random number generation (uniform, source code exponential, source code normal, binomial, poisson, geometric, gamma, beta, negative source code binomial and source code Weibull), and GLIMCLIM (Generalised Linear Modelling source code of daily climate source code sequences).
• Statistics - Code by Laurie Davies for modality of spectral source code densities, source code ANOVA, and nonparametric regression: runs, taut strings, source code and local source code extremes.
• Lyapunov Exponent of Noisy Nonlinear Systems (LENNS) - Fortran 77 code for paper by Ronald Gallant.
• ISMLIB Software - Institute of Statistical Mathematics Software and Data Library.
• Numerical Methods for Estimation and Inference in Bayesian VAR-models - Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson.
• 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.
• Clusfind - Complete code of six stand-alone Fortran programs for cluster analysis, source code described and illustrated in L. Kaufman and P.J. Rousseeuw (1990), source code "Finding Groups in Data: an Introduction to Cluster Analysis", Wiley.
• Fortran Library - Fortran 90 program by Johnny Lin to calculate statistics and econometrics statistics and econometrics the time-dependent exponent (lambda) and logarithmic displacement curves statistics and econometrics statistics and econometrics of a time series.
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator - By Wouter J. Denhaan.
• Software for Stochastic Simulation Input Modeling - Fortran 77 code and Windows executables for fitting statistics and econometrics statistics and econometrics Johnson distributions, Poisson processes, and other topics. By statistics and econometrics statistics and econometrics James R. Wilson.
• Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data - Fortran 77 programs by Yong Zeng.
• Gaussian Random Number Generator - Code to generate autocorrelated Gaussian variates by S. statistics and econometrics Tim Hatamian.
• SNP: A Program for Nonparametric Time Series Analysis - Code by A. Ronald Gallant and George Tauchen for nonparametric fortran time series analysis that employs a Hermite polynomial series expansion fortran to approximate the conditional density of a multivariate process.
• Adaptive Logistic Basis Function Regression (ALB) - Fortran 77 code by Peter M. Hooper.
• Geostatistical Software LIBrary (GSLIB) - Codes in Fortran 90 and 77. Accompanies the fortran book "GSLIB: Geostatistical Software Library and User\\'s Guide" fortran by Clayton Deutsch and André Journel.
• Autoregressive model estimation - Originally by H. Akaike, modified by T. Morikawa, statistics and econometrics statistics and econometrics M. Sigemori, and T. Wada.
• Econometrics - Code for Bayesian analysis of long memory and source code persistence using ARFIMA models, benchmark priors for Bayesian source code model averaging, estimation of demand systems through consumption source code efficiency, model uncertainty in cross-country growth regressions, and source code Bayesian
• ALSCAL - Fortran code by Forrest W. Young for multidimensional statistics and econometrics scaling.
• Bispectrum Test - Code for bispectrum test of Melvin Hinich.
• Progress - Robust regression.
• Garland B. Durham - Fortran 95 code to estimate of continuous-time diffusion statistics and econometrics statistics and econometrics processes, including stochastic volatility models.
• Rule Learning - Code estimates the population rule learning model on fortran experimental data.
• PIRLS - Poisson Iteratively Reweighted Least Squares Program for Additive, fortran Multiplicative, Power, statistics and econometrics and Non-linear Models, by Leif E. fortran Peterson, Journal of Statistical statistics and econometrics Software v2 (1997).
• CANOCO - Program for canonical community ordination by [partial] [detrended] [canonical] correspondence statistics and econometrics analysis, principal components analysis and redundancy analysis. [Commercial]
• Cloud Slice - Fortran 77 and IDL codes for time series source code regression statistics and econometrics and detrending.
• Peter Green - Links to AutoRJ for reversible jump MCMC, Nmix statistics and econometrics statistics and econometrics for Bayesian analysis of univariate normal mixtures by statistics and econometrics statistics and econometrics MCMC, Cpt for Bayesian multiple change point analysis statistics and econometrics statistics and econometrics for point processes, and Dirichlet tessellation software.
• Smoothing splines - Fortran 90 routines by Ian Enting for calculating smoothing splines fortran and propagating data uncertainties to obtain uncertainty ranges for the fortran spline fits.
• EMMIX - Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan.
• RedFit - Fortran 90 code by Michael Schulz and Manfred fortran Mudelsee to estimate red-noise spectra directly from unevenly fortran spaced time series, without requiring interpolation.
• Classical Item Analysis - Program by Seock-Ho Kim for classical item analysis source code for tests that consist of multiple-choice or true-false source code items. In addition to item statistics for each source code item response, the program provides summary statistics of source code the total score, coefficient alpha, and te
• Logic Regression - In Fortran 77, by Ingo Ruczinski and Charles source code Kooperberg. statistics and econometrics Also incorporated into packages for R and source code S-PLUS.
• Quality Control and Engineering Statistics code - For a course, authored by Karen Jensen, F. statistics and econometrics source code F. Gan, Stephen Crowder, Thomas Lorenzen, Keith Crawford, statistics and econometrics source code Andy Chiang, and Brandon L. Paris.
• Permutation Methods: A Distance Function Approach - Code for book by Paul W. Mielke Jr. and Kenneth fortran J. Berry.
• Robust Statistics - Code for regression and covariance matrix estimation, from the Antwerp statistics and econometrics Group On Robust and Applied Statistics.
• Non-Negative Least Squares (NNLS) - Codes in Fortran 77, 90, C, IDL, and Matlab.
• Studies of Random Numbers - Fortran 77 codes by Ilpo Vattulainen.
• Spatial Statistics - Fortran 90 code by Kelley Pace.
• Multivariate Data Analysis - Code for principal components, partitioning, clustering, discriminant analysis, multidimensional scaling, fortran Kohonen self-organizing map, sorting, errors-in-variable regression, minimal spanning trees, and fortran GMDH, by Fionn Murtagh.
• Monte Carlo Methods in Bayesian Computation - Fortran 77 code to accompany book by Ming-Hui fortran Chen, Qi-Man source code Shao, and Joseph G. Ibrahim.
• Nonlinear Time Series Analysis (TISEAN) - Code in C and Fortran for the analysis fortran of time fortran series with methods based on the fortran theory of nonlinear deterministic fortran dynamical systems (chaos).
• Monahan statistics code - Fortran 95 code for the book Numerical Methods source code of Statistics, by John Monahan
• 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
• Ensemble Kalman Filter (EnKF) - Fortran 90 code by Geir Evensen.
• Fast Statistical Methods - Fortran 90 and 77 codes by W.H. Press statistics and econometrics fortran and G.B. Rybicki, for fast inversion matrices of statistics and econometrics fortran an exponential form arising from autocorrelation statistics and econometrics fortran functions of Ornstein-Uhlenbeck processes.
• Recipe: REGression Confidence Intervals for PErcentiles - Determines one-sided tolerance limits (in particular, A- and fortran B-basis material fortran property values) for regression models in fortran the presence of between-batch fortran variability. By Mark Vangel.
• SNOB - Mixture modelling by Minimum Message Length (MML).
• Stochastic Differential Equations - Fortran/Matlab program by Andrea Barreiro to integrate SDE\\'s using Euler\'s fortran method.
• Simulation of Multinomial Probit Probabilities and Imputation - By Steven Stern.
• Flexible Least Squares (FLS) - Developed by Robert E. Kalaba and Leigh Tesfatsion, source code implements source code the flexible least squares (FLS) approach to source code time-varying linear source code regression proposed by Kalaba and Tesfatsion source code in "Time-Varying Linear source code Regression Via Flexible Least Squares," source code Computer
• Multivariate Analyses - Fortran 90 codes for univariate and multivariate random source code number statistics and econometrics generation, computation of simple statistics, covariance matrices, source code principal components statistics and econometrics analysis, multiple regression, and jacknife cross-validation, source code by Dan Hennen.
• Generalized Maximum Entropy Leuven Estimator (MEL) under Severe Multicollinearity Conditions : A Computer Program - Fortran 77 code to compute the estimators of source code multiple regression parameters by a family of Maximum source code Entropy Leuven Estimators under severe multicollinearity.
• Bayesian Analysis, Computation and Communication (BACC) - By John Geweke.
• DATAPAC - Fortran 77 statistical library by James Filliben.
• Fair-Parke Program - Allows one to estimate and analyze dynamic, nonlinear, simultaneous equations statistics and econometrics models. The models can be rational expectations models, and they statistics and econometrics can have autoregressive errors of any order. The estimation techniques statistics and econometrics include OLS, 2SLS, 3SLS, FIML, LAD, 2SLAD
• VPLX: Variance Estimation for Complex Samples - Program from the U.S. Census Bureau for the source code calculation fortran of variances for complex sample designs through source code replication.
• 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 source code an Interactive Non-Linear Least Squares procedure. The code, by Mark source code M. Law and Jeremy M. Hutson, is designed to be source code highly modular.
• Statistical programs - Code for "Invariant Small Sample Confidence Intervals For source code The Difference Of Two Success Probabilities" and "Bootstrap source code Prediction and Confidence Bands: a Superior Statistical Method source code for Analysis of Gait Data", by Thomas Santner.
• StatLib Index - See Applied Statistics (algorithms of the Royal Statistical Society) and General Archives for a considerable amount of Fortran code.
• Phil Everson research - TLNise: Two-Level Normal independent sampling estimation. Rcwish generates source code random fortran draws from the Wishart and related distributions.
• Multivariate Normal and Multivariate t Integrals Over Convex Regions - Fortran 90 code by Paul N. Somerville, appearing in the statistics and econometrics Journal of Statistical Software volume 3.
• DIERCKX - Fortran subroutines for calculating smoothing splines for various kinds of fortran data and geometries, with automatic knot selection.
• Computer Intensive Statistical Methods - Fortran 77 programs from book by Urban Hjorth: source code cross statistics and econometrics validation of forward selection, forward validation, and source code bootstrapping.
• StatCodes - Metasite with links to source codes in Fortran statistics and econometrics and C implementing statistical methods which are freely statistics and econometrics available on the Internet. The codes are chosen statistics and econometrics for their potential utility for research in astronomy statistics and econometrics and other physical sciences.
• StatLib---Software and extensions for the S (Splus) language - Links to many packages with Fortran source.
• Research Tools Developed by the Mann Group - Fortran 77 code for the Mann and Lees source code Multi-Taper fortran Method (MTM) and Mann and Park MTM-SVD source code Multivariate Signal fortran Analysis.
• Option Pricing - Program by Ruey Tsay to calculate the price fortran of a statistics and econometrics European option using a simple jump fortran diffusion model.
• DFREML - Suite of programs to estimate (co)variance components or covariance functions, source code and the resulting genetic parameters, by Restricted Maximum Likelihood fitting source code an animal model, by K. Meyer.
• SPECTRUM - Analogue data is collected and digitized with an A/D converter. fortran Having then a collection of digitized time series which reside fortran in the computer, this program calculate amplitude density, autospectral (power) fortran density and cross-spectral density functions fro
• GCV - Fortran 77 and RATFOR code to fit smoothing splines using fortran generalized cross-validation.
• Smoothing Splines - RKPACK and RKPACK-II are collections of RATFOR (rational fortran FORTRAN) routines statistics and econometrics by Chong Gu for Gaussian regression fortran using smoothing splines, penalized statistics and econometrics likelihood density and hazard fortran estimation.
• Autoregressive to Anything (ARTA) - Code by Marne C. Cario and Barry L. fortran Nelson to fortran simulate stationary time series with arbitrary fortran marginal distributions and feasible fortran autocorrelation structure specified through fortran lag p.
• A Bounded Influence Estimation and Outlier Detection for ARCH/GARCH Models With an Application to Foreign Exchange Rates - By Chihwa Kao.
• 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.
• Simultaneous Nonparametric Regression - By Laurie Davies.
• TULSIM - Fortran 77 programs and Windows binaries by M. T. Boswell statistics and econometrics to generate random numbers and compute the cumulative and inverse statistics and econometrics cumulative distribution functions for several statistical distributions.
• Statistical Computing - Fortran 90 and Matlab codes for course by statistics and econometrics source code Lynne Seymour.
• STSPAC - Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics.
• Cluster Analysis - Cluster generation, hierarchical clustering with influence detection, and fortran K-Means clustering with influence detection, by Glenn Milligan.
• Geophysical Data Analysis - Fortran 77 codes to estimate cross and power spectra by fortran sine multitapers and to plot x-y data.
• Time-Varying Autoregression (TVAR) - 404 - 2007.4.1 - Software by Raquel Prado and Mike West for source code fitting, fortran analysis and exploration of time series using source code classes of fortran TVAR's.
• Clustering - Fortran 90 codes.
• ISOPAC - CLUSPAC for cluster analysis, TSPAC for time-series segmentation, source code and source code IMPAC for segmenting digital images, by Stanley source code L. Sclove.
• Multivariate Normal Rectangle Probabilities - Fortran and C codes by H. Joe to accompany paper.
• Quantiles of the Multivariate Studentized Range Procedure - By Otto Schwalb.
• Demo Fortran90 Multilayer Perceptron Backprop Code - By Phil Brierley. A genetic algorithm code is statistics and econometrics at http://www.philbrierley.com/main.html&code/gafortran.html&code/codeleft.html .
• Parallel Random Forests (PARF) - Fortran 90 for a classification algorithm.
• STARPAC - Statistical & Time Series Package - Fortran 77 code for times series and least-squares source code regression fortran including nonlinear regression.
• University of California, Berkeley, Econometrics Laboratory Fortran Software - Econometrics codes.
• Neural Network Freeware - Fortran 90 code using the backpropagation algorithm to statistics and econometrics statistics and econometrics fit a neural network to pairs of input statistics and econometrics statistics and econometrics vectors and target vectors. Numerical Recipes code is statistics and econometrics statistics and econometrics used for singular value decomposition.
• Mersenne Twister - Random number generators in F (Fortran 95 subset) source code by Jose Rui Faustino de Sousa.
• DECORANA and TWINSPAN - Fortran 77 programs for correspondence analysis, by Jari Oksanen.
• Multivariate normal or t-probabilities - Fortran and SAS/IML programs by Frank Bretz.
• Department of Economics Data & Software - Programs for estimating univariate and multivariate GARCH models source code in source code Fortran 77 and Gauss.
• Robust Estimation of Simple Statistics - By T. Beers, K. Flynn, and K. Gebhardt.
• Tobit and Adjusted Maximum Likelihood Estimation - Fortran 77 code and documentation by Tim Cohn.
• Mersenne Twister in Fortran - Random number generators in Fortran.
• Kalman smoothing routine for Hodrick-Prescott filter - By E. Prescott.
• GARCH Estimates: Analytic Derivatives - By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, fortran for a source code 1996 paper in the Journal of fortran Applied Econometrics.
• James MacKinnon - Fortran codes for cointegration tests and other time fortran series topics.
• LSQR - Solves unsymmetric equations, linear least squares, and damped source code least squares for a left-hand-side matrix that is source code large and sparse.
• RRGIBBS - Fortran 95 codes by Karin Meyer: RRGIBBS does fortran simple random regression analyses via Gibbs sampling, and fortran PDMATRIX makes matrices positive definite.
• Group Sequential Tests - Programs from book by Christopher Jennison.

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