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AlaVar
Freeware to compute the three Allan Standard Deviations of a time series.
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.
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.