Software Time Series Analysis
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| 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. |
| 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. |
| 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. |
| [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. |
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