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.
Numerical Methods for Estimation and Inference in Bayesian VAR-models
Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson.
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.
Option Pricing
Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model.
Permutation Methods: A Distance Function Approach
Code for book by Paul W. Mielke Jr. and Kenneth J. Berry.
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.
Phil Everson research
TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions.
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).
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.
Pricing Derivative Securities
Fortran 77 and C++ code for book by T. W. Epps, in a zip file.
Progress
Robust regression.
Qstat
Fortran 77 code by Ruey Tsay to calculate the portmanteau statistic for multivariate time series regression.
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 (GLM)
Code to accompany paper "Rolling Your Own: Linear Model Hypothesis Testing and Power Calculations via the Singular Value Decomposition".
Receiver Operating Characteristic (ROC) Analysis
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.
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.
RedFit
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 & Lees Multi-Taper Method (MTM) and Mann & Park MTM-SVD Multivariate Signal Analysis.
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