Statistics and Econometrics |
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Fortran 77 statistical library by James Filliben.
Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics.
Software for numerical solution of stochastic differential equations such as those which arise in Black-Scholes theory and its generalizations. Must be linked with Fortran 77 code compiled with g77.
Fortran 77 code.
Fortran 77 codes to estimate cross and power spectra by sine multitapers and to plot x-y data.
Fortran 77 and IDL codes for time series regression and detrending.
Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.
Fortran/Matlab program by Andrea Barreiro to integrate SDE's using Euler's method.
Fortran 77 code by Peter M. Hooper.
Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection.
Computers /
Algorithms /
Pseudorandom_Numbers
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