Cubic Splines
Univariate and multivariate spline regression, by Dolph Schluter.
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.
DATAPAC
Fortran 77 statistical library by James Filliben.
DECORANA and TWINSPAN
Fortran 77 programs for correspondence analysis, by Jari Oksanen.
Demo Fortran90 Multilayer Perceptron Backprop Code
By Phil Brierley. A genetic algorithm code is at http://www.philbrierley.com/main.html&code/gafortran.html&code/codeleft.html .
Department of Biomathematics, University of Texas M. D. Anderson Hospital
Random numbers, distributions, and many more (dcflib, ranlib, ...)
Department of Economics Data & Software
Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss.
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.
DIERCKX
Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection.
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.
Econometrics
Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling, and PDMATRIX makes matrices positive definite.
EMMIX
Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan.
Ensemble Kalman Filter (EnKF)
Fortran 90 code by Geir Evensen.
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.
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.
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.
Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data
Fortran 77 programs by Yong Zeng.
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.
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).
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.
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