Statistics and Econometrics |
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Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.
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.
Programs available for (1) the generation of synthetic 1-dimensional signals that are simple fractional Brownian noise, and (2) analysis programs for determining the fractal dimension D (or the Hurst coefficient H, H = E + 1 - D, where E is the Euclidean dimension) from a simple fractal time series, i.e. a 1-dimensional signal.
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.
Fortran 77 programs by Yong Zeng.
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.
By Richard P. Brent, in Fortran 77.
Program designed to analyse mixtures of densities from the exponential family.
Fortran 77 code and documentation by Tim Cohn.
Institute of Statistical Mathematics Software & Data Library.
Computers /
Algorithms /
Pseudorandom_Numbers
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