| Directory > Computers > Programming > Languages > Fortran > Source Code > Statistics and Econometrics Wes' programs page
Fortran 77 codes by W. J. Metzger to construct a minimum spanning tree and calculate a confidence
level for the hypothesis that two sets of points are from the same distribution.
http://metzger.home.cern.ch/metzger/programs.html
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Multivariate Normal Rectangle Probabilities
Fortran and C codes by H. Joe to accompany paper.
http://tigger.smu.edu.sg/software/mnp-stuff/stat.ubc.ca/
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Quantiles of the Multivariate Studentized Range Procedure
By Otto Schwalb.
http://www.stat.rice.edu/~schwalb/
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Computer Intensive Statistical Methods
Fortran 77 programs from book by Urban Hjorth: cross validation of forward selection, forward
validation, and bootstrapping.
http://www.math.chalmers.se/~hjorth/cism.html
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Qstat
Fortran 77 code by Ruey Tsay to calculate the portmanteau statistic for multivariate time series
regression.
http://www.gsb.uchicago.edu/fac/ruey.tsay/teaching/fts/qstat.f
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Group Sequential Tests
Programs from book by Christopher Jennison.
http://www.bath.ac.uk/~mascj/book/programs/general
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Classification Algorithms
Programs by Allan D. Gordon for hierarchical classification of data using one of four standard
clustering procedures (single link, group average link, Ward's method, complete link) and other
topics in classification.
http://www-solar.mcs.st-and.ac.uk/~allan/Software.html
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Clustering
Fortran 90 codes.
http://www.sissa.it/dataclustering/bretton_woods.html
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Mersenne Twister
Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa.
http://homepage.esoterica.pt/~jrfsousa/fortran.html
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Non-Negative Least Squares (NNLS)
Codes in Fortran 77, 90, C, IDL, and Matlab.
http://hesperia.gsfc.nasa.gov/~schmahl/nnls/
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Pricing Derivative Securities
Fortran 77 and C++ code for book by T. W. Epps, in a zip file.
http://www.worldscientific.com/books/4415.zip
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BIO 248 Programs
Fortran and S codes for neural networks and optimization.
http://icommons.harvard.edu/~hsph-bio248-01/Software/
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CANOCO
Program for canonical community ordination by [partial] [detrended] [canonical] correspondence
analysis, principal components analysis and redundancy analysis. [Commercial]
http://www.microcomputerpower.com/catalog/canoco.html
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ALSCAL
Fortran code by Forrest W. Young for multidimensional scaling.
http://forrest.psych.unc.edu/research/alscal.html
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Option Pricing
Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion
model.
http://gsbwww.uchicago.edu/fac/ruey.tsay/teaching/fts/kou.f
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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".
http://guppy.mpe.nus.edu.sg/~mpessk/npa.f
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Numerical Methods for Estimation and Inference in Bayesian VAR-models
Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson.
http://qed.econ.queensu.ca/jae/1997-v12.2/kadiyala-karlsson/
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Statistical Analysis of Climate Time Series
Codes by Manfred Mudelsee. PearsonT estimates Pearson’s correlation coefficient from serially
dependent time series. Rampfit estimates ramp function regressions. TAUEST estimates persistence in
unevenly spaced weather/climate time series. XTREND estimates trends in the occurrence rate of
extreme weather and climate events.
http://www.uni-leipzig.de/~meteo/MUDELSEE/
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RedFit
Fortran 90 code by Michael Schulz and Manfred Mudelsee to estimate red-noise spectra directly from
unevenly spaced time series, without requiring interpolation.
http://www.ngdc.noaa.gov/paleo/softlib/redfit/redfit.html
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Bispectrum Test
Code for bispectrum test of Melvin Hinich.
http://econwpa.wustl.edu/eprints/prog/papers/9603/9603001.abs
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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.
http://fairmodel.econ.yale.edu/fp/fp.htm
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Lyapunov Exponent of Noisy Nonlinear Systems (LENNS)
Fortran 77 code for paper by Ronald Gallant.
http://econwpa.wustl.edu/eprints/prog/papers/9603/9603002.abs
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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.
http://www.boulder.nist.gov/mcsd/Staff/JRogers/odrpack.html
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LSQR
Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side
matrix that is large and sparse.
http://www.stanford.edu/group/SOL/software/lsqr/f77/
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Classical Item Analysis
Program by Seock-Ho Kim for classical item analysis for tests that consist of multiple-choice or
true-false items. In addition to item statistics for each item response, the program provides
summary statistics of the total score, coefficient alpha, and test scoring results. The cross
classification of quintile group by item response can be obtained optionally. The program can be
obtained from the author.
http://www.arches.uga.edu/~shkim/epm99.htm
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Andrew Jeffrey's Fortran 90 routines
Routines for i) the calculation of some linear algebra ii) non-linear minimization, iii)
numerical integration and differentiation, iv) random number generation from a Normal distribution
with mean zero and variance one, and v) the implementation of the Generalized Method of Moments
statistical estimation procedure.
http://mayet.som.yale.edu/~amj23/f90.htm
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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.
http://www1.fpl.fs.fed.us/covnorm.code.html
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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.
http://www1.fpl.fs.fed.us/nonpar.html
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Tight T
Program to determine appropriate sample sizes, allocate specimens, and analyze results in the case
in which a response predictor is used to sort the specimens prior to treatment.
http://www1.fpl.fs.fed.us/papers.html#Tight_T
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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.
http://www1.fpl.fs.fed.us/psconf.html
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Raw General Linear Model (GLM)
Code to accompany paper "Rolling Your Own: Linear Model Hypothesis Testing and Power
Calculations via the Singular Value Decomposition".
http://www1.fpl.fs.fed.us/glm.html
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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.
http://www.gslib.com/
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Phil Everson research
TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the
Wishart and related distributions.
http://www.swarthmore.edu/NatSci/peverso1
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Mersenne Twister in Fortran
Random number generators in Fortran.
http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/VERSIONS/FORTRAN/fortran.html
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Bayesian Analysis, Computation and Communication (BACC)
By John Geweke.
http://www2.cirano.qc.ca/~bacc/bacc98/index.html
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SNP: A Program for Nonparametric Time Series Analysis
Code by A. Ronald Gallant and George Tauchen for nonparametric time series analysis that employs a
Hermite polynomial series expansion to approximate the conditional density of a multivariate
process.
http://www.econ.duke.edu/~get/snp.html
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Autoregressive to Anything (ARTA)
Code by Marne C. Cario and Barry L. Nelson to simulate stationary time series with arbitrary
marginal distributions and feasible autocorrelation structure specified through lag p.
http://users.iems.nwu.edu/~nelsonb//ARTA/
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James MacKinnon
Fortran codes for cointegration tests and other time series topics.
http://qed.econ.queensu.ca/pub/faculty/mackinnon/
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Mode Testing
By Michael C. Minnotte. Uses a random number generator (RNG) from NAG, but another RNG can be used.
http://math.usu.edu/~minnotte/research/software/tme.f
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Statistical Computing
Fortran 90 and Matlab codes for course by Lynne Seymour.
http://www.stat.uga.edu/~seymour/8060/course.html
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StatCodes
Metasite with links to source codes in Fortran and C implementing statistical methods which are
freely available on the Internet. The codes are chosen for their potential utility for research in
astronomy and other physical sciences.
http://www.astro.psu.edu/statcodes/
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Permutation Methods: A Distance Function Approach
Code for book by Paul W. Mielke Jr. and Kenneth J. Berry.
http://www.stat.colostate.edu/~mielke/permute.html
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Monte Carlo Methods in Bayesian Computation
Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim.
http://merlot.stat.uconn.edu/~mhchen/mcbook/
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University of California, Berkeley, Econometrics Laboratory Fortran Software
Econometrics codes.
http://elsa.berkeley.edu/fortran_progs.shtml
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VPLX: Variance Estimation for Complex Samples
Program from the U.S. Census Bureau for the calculation of variances for complex sample designs
through replication.
http://www.census.gov/sdms/www/vwelcome.html
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Z-transformed Discrete Correlation Function algorithm (ZDCF)
By Tal Alexander.
http://www.weizmann.ac.il/home/tal/zdcf/zdcf_v1.2.f
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Time-Varying Autoregression (TVAR)
Software by Raquel Prado and Mike West for fitting, analysis and exploration of time series using
classes of TVAR's.
http://www.stat.duke.edu/~mw/tvar.html
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Studies of Random Numbers
Fortran 77 codes by Ilpo Vattulainen.
http://www.physics.helsinki.fi/~vattulai/rngs.html
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Simulation from the Multivariate Normal and t Distributions Subject to Linear Constraints
By John Geweke.
http://www.biz.uiowa.edu/faculty/jgeweke/papers/paper47/eff.f
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Time Series Analysis and Forecasting Techniques
By Hossein Arsham.
http://obelia.jde.aca.mmu.ac.uk/resdesgn/arsham/opre330Forecast.htm
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Simulating stationary and non-stationary Gaussian random processes
By Grace Chan.
http://www.stat.uiowa.edu/~grchan/index.html#research
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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.
http://www.abdn.ac.uk/~che194/research/inolls/index.html
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Random Number Generator
KISS RNG by George Marsaglia
http://www.fortran.com/kiss.f90
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Simulating Rectangle Multivariate Normal Probabilities and Derivatives
By Vassilis Hajivassiliou.
http://econ.lse.ac.uk/~vassilis/pub/simulation/fortran/
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Multivariate normal or t-probabilities
Fortran and SAS/IML programs by Frank Bretz.
http://www.bioinf.uni-hannover.de/~bretz/
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Smoothing Splines
RKPACK and RKPACK-II are collections of RATFOR (rational FORTRAN) routines by Chong Gu for Gaussian
regression using smoothing splines, penalized likelihood density and hazard estimation.
http://www.stat.purdue.edu/~chong/software.html
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Simultaneous Nonparametric Regression
By Laurie Davies.
http://wwwstat.mathematik.uni-essen.de/~davies/cmprnprg.html
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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.
http://www.itl.nist.gov/div898/software/recipe/homepage.html
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Kalman smoothing routine for Hodrick-Prescott filter
By E. Prescott.
http://dge.repec.org/codes/hpfilter.for
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Progress
Robust regression.
http://www.wis.kuleuven.ac.be/stat/Programs/progress.f
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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.
http://astro.u-strasbg.fr/~fmurtagh/mda-sw/
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Logic Regression
In Fortran 77, by Ingo Ruczinski and Charles Kooperberg. Also incorporated into packages for R and
S-PLUS.
http://bear.fhcrc.org/~ingor/logic/html/program.html
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Department of Biomathematics, University of Texas M. D. Anderson Hospital
Random numbers, distributions, and many more (dcflib, ranlib, ...)
http://odin.mdacc.tmc.edu/biomath/anonftp/
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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.
http://agbu.une.edu.au/~kmeyer/dfreml.html
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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
By Wouter J. Denhaan.
http://econ.ucsd.edu/~wdenhaan/varhac.html
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Hypothesis Testing using Shape-Restricted Regression
Code for convex and monotone regression, by Mary C. Meyer.
http://www.stat.uga.edu/~mmeyer/codehyp.html
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Econometrics
Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling,
and PDMATRIX makes matrices positive definite.
http://agbu.une.edu.au/~kmeyer/rrg_main.html
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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.
http://www.kent.ac.uk/ims/personal/mfs/software.html
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Cubic Splines
Univariate and multivariate spline regression, by Dolph Schluter.
http://www.zoology.ubc.ca/~schluter/splines.html
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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).
http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.1/index.html
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Nonparametric Kernel Regression
Code for Monte Carlo simulation with discrete and continuous outcomes, by Tom Mroz.
http://www.unc.edu/~mroz/programs.html
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Department of Economics Data & Software
Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss.
http://econ.ucsd.edu/software/ARCH.html
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SNOB
Mixture modelling by Minimum Message Length (MML).
ftp://ftp.cs.monash.edu.au/software/snob/Snob.README
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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.
http://linkage.rockefeller.edu/ott/nocom.htm
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EMMIX
Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the
EM algorithm. By Geoff McLachlan.
http://www.maths.uq.edu.au/~gjm/emmix/EMMIX.f
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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.
http://www.stat.washington.edu/fraley/software.html/
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GARCH Estimates: Analytic Derivatives
By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal
of Applied Econometrics.
http://qed.econ.queensu.ca/jae/1996-v11.4/fiorentini-calzolari-panattoni/fcp-progs.zip
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StatLib Index
See Applied Statistics (algorithms of the Royal Statistical Society) and General Archives for a
considerable amount of Fortran code.
http://lib.stat.cmu.edu/
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Statistics
Code by Laurie Davies for modality of spectral densities, ANOVA, and nonparametric regression:
runs, taut strings, and local extremes.
http://wwwstat.mathematik.uni-essen.de/~davies/
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Statistical programs
Code for "Invariant Small Sample Confidence Intervals For The Difference Of Two Success
Probabilities" and "Bootstrap Prediction and Confidence Bands: a Superior Statistical
Method for Analysis of Gait Data", by Thomas Santner.
http://www.stat.ohio-state.edu/~tjs/
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STARPAC - Statistical & Time Series Package
Fortran 77 code for times series and least-squares regression including nonlinear regression.
http://www.scd.ucar.edu/softlib/STARPAC.html
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Spatial Statistics
Fortran 90 code by Kelley Pace.
http://www.spatial-statistics.com/software_index.htm
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Robust Statistics
Code for regression and covariance matrix estimation, from the Antwerp Group On Robust &
Applied Statistics.
http://www.agoras.ua.ac.be/Robustn.htm
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Robust Estimation of Simple Statistics
By T. Beers, K. Flynn, and K. Gebhardt.
http://www.pa.msu.edu/ftp/pub/beers/posts/rostat/rostat.f
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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.
http://www.public.iastate.edu/~vardeman/stat531/531software.html
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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).
http://www.jstatsoft.org/v02/i05/
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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.
http://www.unizh.ch/biostat/Software/
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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.
http://www.jstatsoft.org/v03/i04/
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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.
http://www.esg.montana.edu/eguchi/multivariate/#Fortran
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Monahan statistics code
Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan
http://www4.stat.ncsu.edu/~monahan/aug00/toc.htm
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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.
http://www.eou.edu/~dallen/lp_dist_code.html
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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).
http://www.econ.iastate.edu/tesfatsi/fls.htm
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COVAR
Computer Program for Multifactor Relative Risks and Tests of Hypotheses Using a Variance-Covariance
Matrix from Linear and Log-Linear Regression, by Leif E. Peterson, Journal of Statistical Software
v2 (1997).
http://www.jstatsoft.org/v02/i04/
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DECORANA and TWINSPAN
Fortran 77 programs for correspondence analysis, by Jari Oksanen.
http://cc.oulu.fi/~jarioksa/softhelp/ceprog.html
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Computer Assisted Analysis of Mixtures (C.A.MAN)
Program designed to analyse mixtures of densities from the exponential family.
http://ftp.ukbf.fu-berlin.de/sozmed/caman.html
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Cluster Analysis
Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with
influence detection, by Glenn Milligan.
http://www.pitt.edu/~csna/Milligan/readme.html
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Clusfind
Complete code of six stand-alone Fortran programs for cluster analysis, described and illustrated
in L. Kaufman and P.J. Rousseeuw (1990), "Finding Groups in Data: an Introduction to Cluster
Analysis", Wiley.
http://www.stats.ox.ac.uk/~ripley/PRbook/clusfind
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Autoregressive model estimation
Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada.
http://www.uinet.or.jp/~ishiyasu/wada/Airc.f
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ARMA and Kalman Filter model estimation
By J. Newton
http://stat.tamu.edu/ftp/pub/jnewton/load.f
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AR and ARFIMA models
Tests for AR(1) Parameter in Regression Models with Autocorrelated Errors. Univariate and
multivariate Bayesian ARFIMA. By Nalini Ravishanker and coworkers.
http://merlot.stat.uconn.edu/~nalini/programs.html
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