Fortran Library
Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.
Fractal Analysis Programs of the National Simulation Resource
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.
GARCH Estimates: Analytic Derivatives
By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics.
Gaussian Random Number Generator
Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.
GCV
Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.
Geophysical Data Analysis
Fortran 77 codes to estimate cross and power spectra by sine multitapers and to plot x-y data.
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.
Group Sequential Tests
Programs from book by Christopher Jennison.
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
By Wouter J. Denhaan.
Hypothesis Testing using Shape-Restricted Regression
Code for convex and monotone regression, by Mary C. Meyer.
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.
James MacKinnon
Fortran codes for cointegration tests and other time series topics.
Kalman smoothing routine for Hodrick-Prescott filter
By E. Prescott.
Logic Regression
In Fortran 77, by Ingo Ruczinski and Charles Kooperberg. Also incorporated into packages for R and S-PLUS.
LSQR
Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side matrix that is large and sparse.
Lyapunov Exponent of Noisy Nonlinear Systems (LENNS)
Fortran 77 code for paper by Ronald Gallant.
Mersenne Twister
Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa.
Mersenne Twister in Fortran
Random number generators in Fortran.
Mode Testing
By Michael C. Minnotte. Uses a random number generator (RNG) from NAG, but another RNG can be used.
Model-Based Clustering Software (MCLUST/EMCLUST)
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.
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