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Time Series Analysis

Science > Math > Statistics > Software > Time Series Analysis

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	http://forum.europa.eu.int/irc/dsis/eurosam/info/data/demetra.htm - http://forum.europa.eu.int/irc/dsis/eurosam/info/data/demetra.htm Free user-friendly interface to Tramo/Seats and X-12-Arima for automated applications and for detailed time series analysis.
	http://www.jmulti.de - http://www.jmulti.de Time series analysis program, written in Java, to accompany book "Applied Time Series Analysis", by Helmut Lutkepohl and Markus Kratzig.
	http://www.brodgar.com/ - http://www.brodgar.com/ Program package used for estimating common trends, seasonal components and cycles in short, non-stationary multivariate time series. Based on dynamic factor analysis.
	kSpectra Toolkit - http://www.spectraworks.com/ 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.
	[web:reg] [free Excel Add-Ins (Hodrick Prescott, Bandpass, ADF, ARIMA, Correlogram...)] - http://www.web-reg.de/ 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.

CaterpillarSSA - http://www.gistatgroup.com/cat/
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.

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