Monahan statistics code
Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan
Monte Carlo Methods in Bayesian Computation
Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim.
Multivariate Analyses
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.
Multivariate Data Analysis
Code for principal components, partitioning, clustering, discriminant analysis, multidimensional scaling, Kohonen self-organizing map, sorting, errors-in-variable regression, minimal spanning trees, and GMDH, by Fionn Murtagh.
Multivariate Normal and Multivariate t Integrals Over Convex Regions
Fortran 90 code by Paul N. Somerville, appearing in the Journal of Statistical Software volume 3.
Multivariate normal or t-probabilities
Fortran and SAS/IML programs by Frank Bretz.
Multivariate Normal Rectangle Probabilities
Fortran and C codes by H. Joe to accompany paper.
Nearest Point Algorithm (NPA) for Dense Kernels
Fortran 77 code by S. Sathiya Keerthi to accompany paper "A Fast Iterative Nearest Point Algorithm for Support Vector Machine Classifier Design".
Neural Network Freeware
Fortran 90 code using the backpropagation algorithm to fit a neural network to pairs of input vectors and target vectors. Numerical Recipes code is used for singular value decomposition.
Nonlinear Time Series Analysis (TISEAN)
Code in C and Fortran for the analysis of time series with methods based on the theory of nonlinear deterministic dynamical systems (chaos).
Non-Negative Least Squares (NNLS)
Codes in Fortran 77, 90, C, IDL, and Matlab.
Nonparametric Estimation
Calculates nonparametric estimates of percentiles, associated confidence intervals, and tolerance limits of the percentiles from a data set. It can also give the order statistics needed for any sample size to create the same estimates.
Nonparametric Kernel Regression
Code for Monte Carlo simulation with discrete and continuous outcomes, by Tom Mroz.
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.
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