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Time Series Analysis
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Open Directory - Science: Math: Statistics: Software: Time Series Analysis
Brodgar
- Program package used for estimating common trends, seasonal components and cycles in short, non-stationary multivariate time series. Based on dynamic factor analysis.
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). The program can be applied to multivariate analysis/forecasting and change-point detection.
DEMETRA
- Free user-friendly interface to Tramo/Seats and X-12-Arima for automated applications and for detailed time series analysis.
JMulTi
- Time series analysis program, written in Java, to accompany book "Applied Time Series Analysis", by Helmut Lutkepohl and Markus Kratzig.
[web:reg] [free Excel Add-Ins (Hodrick Prescott, Bandpass, ADF, ARIMA, Correlogram...)]
- My programs are primarily econometrical Excel Add-Ins which are written in VBA or C++. Add-Ins have the great advantage that you can work directly from Excel.
kSpectra Toolkit
- Using novel tools such as singular spectrum analysis and multitaper method, time series can be decomposed into noise and predictable components - trends and oscillatory modes, which can be reconstructed and forecast.
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Last update: Tuesday, November 3, 2009 1:31:54 AM EST -
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