Time series analysis

Signal Analysis and Time Series Processing (SANTIS)
Package with modern graphics and functionalities including: interactive data editing, 1- to 3-dimensional delay and phase plots, signal statistics (mean, standard devaition, skewness, kurtosis, linear regression), simulation, variable transformations, analysis (derivative, integration, autocorrelation, cross-correlation), Fourier and wavelet transforms, linear filters, nonlinear dymatics (recurrence plots, Lyapunov exponents), noise reduction (wavelet shrinkage and nonlinear techniques). (P)
Package of programs for fast Fourier transforms (P)
Standards Time Series and Regresion Package (STARPAC)
Library of about 150 Fortran subroutines for time series analysis and nonlinear regression, developed at NIST. Includes digital filtering, complex demodulation, univariate and bivariate correlation and spectrum analysis, ARMA and ARIMA models. Old-fashioned interface. (P)
Nonlinear time series analysis package for chaotic systems. Includes linear tools (autoregressive models, power spectrum, filters), visualization tools, embedding and Poincare sections, nonlinear prediction and local polynomial models, dimensionality adn entropy estimation, Lyapunov exponents, simulations, and cross-correlation of multivariate time series. From TISEAN Project at MPI Dresden and University of Wuppertal, Germany. P
Amara's Wavelet page
Metasite with extensive description, software, bibliography, and WWW sites for wavelet methods. Provides links to over 30 wavelet software packages and toolboxes. Environments include UNIX, X-Windows, Windows, Macintosh, C, C++, Matlab, Maple, PV-WAVE, Khoros, Mathematica, S+, IDL and MIDAS. See also a similar site at the University of Salzburg.
MATLAB routines
Moving average and running median smoothers. (P)
Package for multivariate nonparametric time series analysis by maximum likelihood polynomial expansion permitting uneven weighting, non-normality and nonlinearity. (P)
Astronomical MATLAB utilities
Scripts within the MATLAB environment for astronomical times series including many types of periodograms, sine-wave fitting, autoregressive modeling with bootstrap error estimation, various astronomical functions, display capabilities, coordinate transformations, and more. P
Dynamic XWindow graphical system for exploratory time series analysis including autoregressive models and Fourier analysis. (P)
Matlab package for estimation and spectral decompositions of multivariate autoregressive time series analysis. (P)
RQA software
Software for Recurrence Quantification Analysis of complex (e.g. chaotic, nonlinear and nonstationary) systems. (*.zip format) P
Singular Spectrum Analysis - MultiTaper Method (SSA-MTM)
Toolkit of UNIX utilities to analyze short, noisy time series testing for trend and oscillating components, and three kinds of power spectra (windowed correlogram, multi-taper method, maximum-entropy method). (P)
Multi-Taper Spectral Analysis Methods (MTM) and research/matlab/matlab-astrolib.html Multi-taper spectral analysis
Spectral analysis with tapering to minimize spectral leakage and spurious correlations.
Finding periodicities with splines
Nonparametric method for locating periodicities in unevenly spaced univariate data based on efficient least-squares fitting of cubic B-splines.
Maximum likelihood estimator of ARIMA model.
Tools for non-linear time series analysis
Metasite with many hypertext links to programs computing dimensionality, Lyapunov exponents, reconstructions, noise reduction, graphics, wavelet transforms, spectral methods, topological methods, and more.
Signal Processing Information Base (SPIB)
Extensive listings of hypertext links to signal processing time series analysis, operated by the Signal Processing Society and NSF. Includes software listings.
Time-frequency analysis
Optimal and adaptive kernel time-frequency representations for non-stationary time series.
Complex and real discrete Fourier transforms. Also here and here. From the journal Applied Statistics.
Fortran 90 FFTs for multidimensional datasets of arbitrary length.
ARMA model
Maximum likelihood estimation of autoregressive-moving average model by Kalman filtering.
Goodness-of-fit test for ARMA model
Change point for Poisson process
REML estimation
Parameter estimation for unevenly spaced univariate time series using a first-order process with white noise.
CUSUM charts
Probability and distribution functions of run lengths in a cumulative summation chart.
Subprograms for real and complex fast Fourier transforms of 1- or multi-dimensional datasets.
Hinich's bispectrum test for nonlinearity or chaos
Lyapunov exponent of noisy nonlinear systems test for chaos
Bayesian analysis of Autoregressive Fractionally Integrated Moving Average models.
Performs fast non-cyclic wavelet transform for compactly supported orthonormal wavelets such as the Daubechies wavelets.
Weighted wavelet Z-transform (ZIP file for PCs)

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