Home > Computers > Programming > Languages > Fortran > Source Code > Statistics and Econometrics
Fortran codes estimating statistical and econometric models on data.
http://www.stat.ualberta.ca/~hooper/research/alb_software/
Fortran 77 code by Peter M. Hooper.
http://forrest.psych.unc.edu/research/alscal.html
Fortran code by Forrest W. Young for multidimensional scaling.
http://merlot.stat.uconn.edu/~nalini/programs.html
Tests for AR(1) Parameter in Regression Models with Autocorrelated Errors. Univariate and multivariate Bayesian ARFIMA. By Nalini Ravishanker and coworkers.
http://www.stat.tamu.edu/ftp/pub/jnewton/load.f
By J. Newton
http://www.uinet.or.jp/~ishiyasu/wada/Airc.f
Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada.
http://users.iems.northwestern.edu/~nelsonb/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://www.microcomputerpower.com/catalog/canoco.html
Program for canonical community ordination by [partial] [detrended] [canonical] correspondence analysis, principal components analysis and redundancy analysis. [Commercial]
http://www.stats.ox.ac.uk/~ripley/PRbook/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.pitt.edu/~csna/Milligan/readme.html
Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with influence detection, by Glenn Milligan.
http://www.jstatsoft.org/v02/i04/
A program for multifactor relative risks, confidence limits, and tests of hypotheses using regression coefficients and a variance-covariance matrix obtained from a previous additive or multiplicative regression analysis. By Leif E. Peterson, with accompanying paper.
http://www.desy.de/~blobel/
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.
http://www.itl.nist.gov/div898/software/datapac/homepage.htm
Fortran 77 statistical library by James Filliben.
http://cc.oulu.fi/~jarioksa/softhelp/ceprog.html
Fortran 77 programs for correspondence analysis, by Jari Oksanen.
http://www.philbrierley.com/main.html?code/fortran.html&code/codeleft.html
By Phil Brierley. A genetic algorithm code is at http://www.philbrierley.com/main.html&code/gafortran.html&code/codeleft.html .
http://www.netlib.org/dierckx/index.html
Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection.
http://www.zoology.ubc.ca/~schluter/software.html
Includes a Fortran 77 program for univariate and multivariate cubic spline regression.
http://www.kent.ac.uk/ims/personal/mfs/software.html
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.maths.uq.edu.au/~gjm/emmix/EMMIX.f
Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan.
http://enkf.nersc.no/
Fortran 90 code by Geir Evensen.
http://www1.fpl.fs.fed.us/covnorm.code.html
Obtains a two-sided confidence interval on a coefficient of variation for data from a normal distribution.
http://fairmodel.econ.yale.edu/fp/fp.htm
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://www.lanl.gov/DLDSTP/fast/
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.
http://www.econ.iastate.edu/tesfatsi/fls.htm
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.johnny-lin.com/flib.html#math
Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.
http://bioeng.washington.edu/software/fractal/
Programs for the generation of synthetic 1-dimensional signals that are simple fractional Brownian noise and for determining the fractal dimension D from a simple fractal time series.
http://qed.econ.queensu.ca/jae/1996-v11.4/fiorentini-calzolari-panattoni/fcp-progs.zip
By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics.
http://www.fortran.com/fm_gauss.html
Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.
http://www.netlib.org/gcv/index.html
Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.
http://www.gslib.com/
Codes in Fortran 90 and 77. Accompanies the book "GSLIB: Geostatistical Software Library and User's Guide" by Clayton Deutsch and André Journel.
http://people.bath.ac.uk/mascj/book/programs/general
Programs from book by Christopher Jennison.
http://www.ism.ac.jp/ismlib/soft_e.html
Institute of Statistical Mathematics Software and Data Library.
http://qed.econ.queensu.ca/pub/faculty/mackinnon/
Fortran codes for cointegration tests and other time series topics.
http://dge.repec.org/codes/hpfilter.for
By E. Prescott.
http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/VERSIONS/FORTRAN/fortran.html
Random number generators in Fortran.
http://www4.stat.ncsu.edu/~monahan/aug00/toc.htm
Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan
http://merlot.stat.uconn.edu/~mhchen/mcbook/
Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim.
http://www.esg.montana.edu/eguchi/multivariate/#Fortran
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.jstatsoft.org/v06/i08/
Fortran 90 code by Paul N. Somerville, appearing in the Journal of Statistical Software volume 3.
http://www.biostat.uni-hannover.de/staff/bretz/
Fortran and SAS/IML programs by Frank Bretz.
http://hesperia.gsfc.nasa.gov/~schmahl/nnls/
Codes in Fortran 77, 90, C, IDL, and Matlab.
http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.1/index.html
Code in C and Fortran for the analysis of time series with methods based on the theory of nonlinear deterministic dynamical systems (chaos).
http://www1.fpl.fs.fed.us/nonpar.html
Calculates nonparametric estimates of percentiles, associated confidence intervals, and tolerance limits of the percentiles from a data set. Also calculates the order statistics needed for any sample size to create the same estimates. Includes source code and web-based interfaces for executing the programs.
http://qed.econ.queensu.ca/jae/1997-v12.2/kadiyala-karlsson/
Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson.
http://www.netlib.org/odrpack/
Solves the weighted orthogonal distance regression problem 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. Includes documentation, revision history, and source code.
http://www.stat.colostate.edu/~mielke/permute.html
Code for book by Paul W. Mielke Jr. and Kenneth J. Berry.
http://www.stats.bris.ac.uk/~peter/
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.
http://www.swarthmore.edu/NatSci/peverso1/
TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions.
http://www.jstatsoft.org/v02/i05/
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://www1.fpl.fs.fed.us/psconf.html
Performs a simulation to evaluate the performance of corrected confidence intervals based on blocked and unblocked ANOVAs in a predictor sort sampling ANOVA. Also estimates coverages for confidence intervals based on an analysis of covariance, and for confidence intervals based on uncorrected blocked and unblocked ANOVAs.
http://www.public.iastate.edu/~vardeman/stat531/531software.html
For a course, authored by Karen Jensen, F. F. Gan, Stephen Crowder, Thomas Lorenzen, Keith Crawford, Andy Chiang, and Brandon L. Paris.
http://www.stat.rice.edu/~schwalb/
By Otto Schwalb.
http://www.fortran.com/kiss.f90
KISS RNG by George Marsaglia
http://www1.fpl.fs.fed.us/glm.html
Code for linear model hypothesis testing and power calculations via the singular value decomposition.
http://www.itl.nist.gov/div898/software/recipe/homepage.html
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.ncdc.noaa.gov/paleo/softlib/redfit/redfit.html
Fortran 90 code by Michael Schulz and Manfred Mudelsee to estimate red-noise spectra directly from unevenly spaced time series, without requiring interpolation.
http://holocene.meteo.psu.edu/Mann/tools/tools.html
Fortran 77 code for the Mann and Lees Multi-Taper Method (MTM) and Mann and Park MTM-SVD Multivariate Signal Analysis.
http://www.homepages.ucl.ac.uk/~ucakarc/work/index.html
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).
http://www.pa.msu.edu/ftp/pub/beers/posts/rostat/rostat.f
By T. Beers, K. Flynn, and K. Gebhardt.
http://people.virginia.edu/~sns5r/resint/imputstf/fortran.html
By Steven Stern.
http://www.stat.purdue.edu/~chong/software.html
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.
ftp://ftp.cs.monash.edu.au/software/snob/Snob.README
Mixture modelling by Minimum Message Length (MML).
http://www.econ.duke.edu/~get/snp.html
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://sabre.lancs.ac.uk/
Fortran 77 code for the statistical analysis of multi-process random effect response data. These responses can take the form of binary, ordinal, count and linear recurrent events.
http://wwwmaths.anu.edu.au/~brent/random.html
Two pseudorandom number generators, ranut and rannw, written in Fortran 77 by Richard P. Brent and released under the GNU General Public License.
http://www1.fpl.fs.fed.us/source.html
Free 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. Includes downloads for Solaris and DOS.
http://www.spatial-statistics.com/software_index.htm
Fortran 90 code by Kelley Pace.
http://archives.math.utk.edu/software/msdos/numerical.analysis/spectr21/.html
Analogue data is collected and digitized with an A/D converter. Having then a collection of digitized time series which reside in the computer, this program calculate amplitude density, autospectral (power) density and cross-spectral density functions from these input time series.
http://astrostatistics.psu.edu/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.manfredmudelsee.com/
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.stat.osu.edu/~tjs/
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://math.nyu.edu/phd_students/barreiro/projects.html
Fortran/Matlab program by Andrea Barreiro to integrate SDE's using Euler's method.
http://www.itl.nist.gov/div898/software/reeves/homepage.htm
Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics.
http://www.census.gov/sdms/www/vwelcome.html
Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication.
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