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).
- Package of programs for fast Fourier transforms (P)
- Standards Time Series and Regresion Package
- 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
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)
- 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).
- Multi-Taper Spectral Analysis Methods
- Spectral analysis with tapering to minimize spectral leakage and spurious
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
- 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
- Complex and real discrete
Fourier transforms. Also
here. From the journal
- 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
- Change point for
- 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
- Subprograms for real and complex fast Fourier transforms of 1- or
- Hinich's bispectrum test for nonlinearity or chaos
- Lyapunov exponent of noisy nonlinear systems test for chaos
- Bayesian analysis of Autoregressive Fractionally Integrated Moving
- 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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