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.
Richard Chandler's software
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).
Robust Estimation of Simple Statistics
By T. Beers, K. Flynn, and K. Gebhardt.
Robust Statistics
Code for regression and covariance matrix estimation, from the Antwerp Group On Robust & Applied Statistics.
Simulating Rectangle Multivariate Normal Probabilities and Derivatives
By Vassilis Hajivassiliou.
Simulating stationary and non-stationary Gaussian random processes
By Grace Chan.
Simulation of Multinomial Probit Probabilities and Imputation
By Steven Stern.
Simultaneous Nonparametric Regression
By Laurie Davies.
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