A Bounded Influence Estimation and Outlier Detection for ARCH/GARCH Models With an Application to Foreign Exchange Rates
   By Chihwa Kao.
   http://www.maxwell.syr.edu/maxpages/faculty/cdkao/working/program.zip

ALSCAL
   Fortran code by Forrest W. Young for multidimensional scaling.
   http://forrest.psych.unc.edu/research/alscal.html

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

ARMA and Kalman Filter model estimation
   By J. Newton
   http://www.stat.tamu.edu/ftp/pub/jnewton/load.f

Adaptive Logistic Basis Function Regression (ALB)
   Fortran 77 code by Peter M. Hooper.
   http://www.stat.ualberta.ca/~hooper/research/alb_software/

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

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.northwestern.edu/~nelsonb/ARTA/

Bayesian Analysis, Computation and Communication (BACC)
   By John Geweke.
   http://www2.cirano.qc.ca/~bacc/bacc98/index.html

Bayesian estimation of affine models
   Fortran 77 code by Chris Lamoureux.
   http://finance.eller.arizona.edu/lam/rsrch/expdfap.txt

Bispectrum Test
   Code for bispectrum test of Melvin Hinich.
   http://econwpa.wustl.edu/eprints/prog/papers/9603/9603001.abs

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

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 te
   http://shkim.myweb.uga.edu/epm99.htm

Cloud Slice
   Fortran 77 and IDL codes for time series regression and detrending.
   http://code916.gsfc.nasa.gov/Data_services/cloud_slice/regress.html

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

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

Clustering
   Fortran 90 codes.
   http://www.sissa.it/dataclustering/bretton_woods.html

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

Cubic Splines
   Univariate and multivariate spline regression, by Dolph Schluter.
   http://www.zoology.ubc.ca/~schluter/splines.html

DATAPAC
   Fortran 77 statistical library by James Filliben.
   http://www.itl.nist.gov/div898/software/datapac/homepage.htm

DECORANA and TWINSPAN
   Fortran 77 programs for correspondence analysis, by Jari Oksanen.
   http://cc.oulu.fi/~jarioksa/softhelp/ceprog.html

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

DIERCKX
   Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection.
   http://www.netlib.org/dierckx/index.html

Data Analysis
   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.desy.de/~blobel/

Demo Fortran90 Multilayer Perceptron Backprop Code
   By Phil Brierley. A genetic algorithm code is at http://www.philbrierley.com/main.html&code/gafortran.html&code/codeleft.html .
   http://www.philbrierley.com/main.html?code/fortran.html&code/codeleft.html

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/

Department of Economics Data & Software
   Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss.
   http://econ.ucsd.edu/publications/ARCH.shtml

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

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
   http://www.kent.ac.uk/ims/personal/mfs/software.html

Ensemble Kalman Filter (EnKF)
   Fortran 90 code by Geir Evensen.
   http://enkf.nersc.no/

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

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
   http://fairmodel.econ.yale.edu/fp/fp.htm

Fast Statistical Methods
   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.lanl.gov/DLDSTP/fast/

Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data
   Fortran 77 programs by Yong Zeng.
   http://mendota.umkc.edu/paper-tick.html

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," Computer
   http://www.econ.iastate.edu/tesfatsi/fls.htm

Fortran Library
   Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.
   http://www.johnny-lin.com/flib.html#math

Fractal Analysis Programs of the National Simulation Resource
   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
   http://nsr.bioeng.washington.edu/Software/NSR_SW_fractal.html

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

GCV
   Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.
   http://www.netlib.org/gcv/index.html

Garland B. Durham
   Fortran 95 code to estimate of continuous-time diffusion processes, including stochastic volatility models.
   http://leeds-faculty.colorado.edu/durhamg/

Gaussian Random Number Generator
   Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.
   http://www.fortran.com/fm_gauss.html

Geophysical Data Analysis
   Fortran 77 codes to estimate cross and power spectra by sine multitapers and to plot x-y data.
   http://mahi.ucsd.edu/cathy/Classes/SIO223/SIO223.html

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/

Group Sequential Tests
   Programs from book by Christopher Jennison.
   http://people.bath.ac.uk/mascj/book/programs/general

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
   By Wouter J. Denhaan.
   http://econ.ucsd.edu/~wdenhaan/varhac.html

Hypothesis Testing using Shape-Restricted Regression
   Code for convex and monotone regression, by Mary C. Meyer.
   http://www.stat.uga.edu/~mmeyer/codehyp.html

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

ISMLIB Software
   Institute of Statistical Mathematics Software & Data Library.
   http://www.ism.ac.jp/ismlib/soft_e.html

ISOPAC
   CLUSPAC for cluster analysis, TSPAC for time-series segmentation, and IMPAC for segmenting digital images, by Stanley L. Sclove.
   http://www.uic.edu/classes/idsc/ids594/ISOPAC/home.htm

James MacKinnon
   Fortran codes for cointegration tests and other time series topics.
   http://qed.econ.queensu.ca/pub/faculty/mackinnon/

Kalman smoothing routine for Hodrick-Prescott filter
   By E. Prescott.
   http://dge.repec.org/codes/hpfilter.for

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

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

Mersenne Twister
   Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa.
   http://homepage.esoterica.pt/~jrfsousa/fortran.html

Mersenne Twister in Fortran
   Random number generators in Fortran.
   http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/VERSIONS/FORTRAN/fortran.html

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 langu
   http://www.stat.washington.edu/fraley/software.html/

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

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/

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

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/

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/v06/i08/

Multivariate normal or t-probabilities
   Fortran and SAS/IML programs by Frank Bretz.
   http://www.biostat.uni-hannover.de/staff/bretz/

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.
   http://mensch.org/neural/

Non-Negative Least Squares (NNLS)
   Codes in Fortran 77, 90, C, IDL, and Matlab.
   http://hesperia.gsfc.nasa.gov/~schmahl/nnls/

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

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

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/

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

Option Pricing
   Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model.
   http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts/kou.f

Parallel Random Forests (PARF)
   Fortran 90 for a classification algorithm.
   http://www.irb.hr/en/research/projects/it/2004/2004-111/

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

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.
   http://www.stats.bris.ac.uk/~peter/

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

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
   http://www1.fpl.fs.fed.us/psconf.html

Progress
   Robust regression.
   http://wis.kuleuven.be/stat/Programs/progress.f

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

Quantiles of the Multivariate Studentized Range Procedure
   By Otto Schwalb.
   http://www.stat.rice.edu/~schwalb/

Random Number Generator
   KISS RNG by George Marsaglia
   http://www.fortran.com/kiss.f90

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

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

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.ncdc.noaa.gov/paleo/softlib/redfit/redfit.html

Research Tools Developed by the Mann Group
   Fortran 77 code for the Mann & Lees Multi-Taper Method (MTM) and Mann & Park MTM-SVD Multivariate Signal Analysis.
   http://holocene.meteo.psu.edu/Mann/tools/tools.html

Richard Chandler's software
   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.homepages.ucl.ac.uk/~ucakarc/work/index.html

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

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

Rule Learning
   Code estimates the population rule learning model on experimental data.
   http://www.eco.utexas.edu/Homepages/Graduate/Haruvy/experimental/rlindx.htm

SNOB
   Mixture modelling by Minimum Message Length (MML).
   ftp://ftp.cs.monash.edu.au/software/snob/Snob.README

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

SPECTRUM
   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 fro
   http://archives.math.utk.edu/software/msdos/numerical.analysis/spectr21/.html

STARPAC - Statistical & Time Series Package
   Fortran 77 code for times series and least-squares regression including nonlinear regression.
   http://www.cisl.ucar.edu/softlib/STARPAC.html

STSPAC
   Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics.
   http://www.itl.nist.gov/div898/software/reeves/homepage.htm

Simulating stationary and non-stationary Gaussian random processes
   By Grace Chan.
   http://www.stat.uiowa.edu/~grchan/index.html#research

Simulation of Multinomial Probit Probabilities and Imputation
   By Steven Stern.
   http://www.people.virginia.edu/~sns5r/resint/imputstf/fortran.html

Simultaneous Nonparametric Regression
   By Laurie Davies.
   http://wwwstat.mathematik.uni-essen.de/~davies/cmprnprg.html

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

Smoothing splines
   Fortran 90 routines by Ian Enting for calculating smoothing splines and propagating data uncertainties to obtain uncertainty ranges for the spline fits.
   http://www.ms.unimelb.edu.au/~enting/spline.html

Software for Stochastic Simulation Input Modeling
   Fortran 77 code and Windows executables for fitting Johnson distributions, Poisson processes, and other topics. By James R. Wilson.
   http://www.ise.ncsu.edu/jwilson/page3.html

Software for the Analysis of Binary Recurrent Events (SABRE)
   Fortran 77 code.
   http://www.cas.lancs.ac.uk/software/sabre3.1/sabre.html

Spatial Statistics
   Fortran 90 code by Kelley Pace.
   http://www.spatial-statistics.com/software_index.htm

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://astrostatistics.psu.edu/statcodes/

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/

StatLib---Software and extensions for the S (Splus) language
   Links to many packages with Fortran source.
   http://lib.stat.cmu.edu/S/

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 estimat
   http://www.manfredmudelsee.com

Statistical Computing
   Fortran 90 and Matlab codes for course by Lynne Seymour.
   http://www.stat.uga.edu/~seymour/8060/course.html

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.osu.edu/~tjs/

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/

Stochastic Differential Equation Software
   Fortran 77 code for numerical solution of stochastic differential equations such as those which arise in Black-Scholes theory and its generalizations.
   http://www.isalgorithms.ca/examples.html

Stochastic Differential Equations
   Fortran/Matlab program by Andrea Barreiro to integrate SDE's using Euler's method.
   http://math.nyu.edu/phd_students/barreiro/projects.html

Studies of Random Numbers
   Fortran 77 codes by Ilpo Vattulainen.
   http://www.helsinki.fi/~vattulai/rngs.html

TULSIM
   Fortran 77 programs and Windows binaries by M. T. Boswell to generate random numbers and compute the cumulative and inverse cumulative distribution functions for several statistical distributions.
   http://ftp.aset.psu.edu/pub/ger/fortran/tulsim.zip

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

Time-Varying Autoregression (TVAR) - 404 - 2007.4.1
   Software by Raquel Prado and Mike West for fitting, analysis and exploration of time series using classes of TVAR's.
   http://xpress.isds.duke.edu:8080/softwarelinks/tvar.html

Tobit and Adjusted Maximum Likelihood Estimation
   Fortran 77 code and documentation by Tim Cohn.
   http://www159.pair.com/cohns/TimCohn/TAC_Software/Tobit/

Uniform and Normal Random Number Generators
   By Richard P. Brent, in Fortran 77.
   http://web.comlab.ox.ac.uk/oucl/work/richard.brent/random.html

University of California, Berkeley, Econometrics Laboratory Fortran Software
   Econometrics codes.
   http://elsa.berkeley.edu/fortran_progs.shtml

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

WWZ and TS
   TS is a time series statistical program for analyzing variable star data. WWZ is a time series analysis program used to study the time-evolution of variable star data, capable of measuring changes in period, amplitude, and mean magnitude.
   http://www.aavso.org/data/software/wwztsfort.shtml

cSVM
   Fortran 95 program for the training and model selection of a Support Vector Machine for binary classification tasks.
   http://www.smartlab.dibe.unige.it//smartlab/software/software.shtml