Brodgar  
   Program package used for estimating common trends, seasonal components and cycles in short, non-stationary multivariate time series. Based on dynamic factor analysis.
   http://www.brodgar.com/

CaterpillarSSA  
   Based on the model-free method of time series analysis Caterpillar-SSA (Singular Spectrum Analysis). The result of the Caterpillar-SSA processing is identification, analysis and forecast of additive components of time series (trends, periodicities, noise)
   http://www.gistatgroup.com/cat/

DEMETRA  
   Free user-friendly interface to Tramo/Seats and X-12-Arima for automated applications and for detailed time series analysis.
   http://forum.europa.eu.int/Public/irc/dsis/eurosam/info/data/demetra.htm

Neuro: Dynamic Time Series Analysis  
   Features the visualization of the multi-channel, multi-frequency digitized data, discrimination, correlation analysis, spectrum, expected density and other functions.
   http://www.geocities.com/somesoftware/neuro.html

AlaVar  
   Freeware to compute the three Allan Standard Deviations of a time series.
   http://yazdiet.club.fr/alavar.html