Scientific Computing FAQ: Probability and Statistics

Probability and Statistics

Probability and Statistics Websites and Software

Probability and Statistics Books

There are hundreds of prob/stat texts, but those that pertain to the marriage of statistics and computing include:

Thisted, Ronald A. 1986. Elements of statistical computing: numerical computation. Chapman and Hall, New York. A good text, and inexpensive. [Allen Mcintosh]

Griffiths, Paul; Hill, Ian David, editors. 1985. Applied statistics algorithms. E. Horwood Publishing. Algorithms are available on statlib.

Moshier, Stephen Lloyd Baluk. 1989. Methods and programs for mathematical functions.

Trivedi, Kishor Shridharbhai, 2001. Probability and Statistics with Reliability, Queuing, and Computer Science Applications (The Blue Book).

Kennedy, W. J.; Gentle, J. E. 1980. Statistical Computing. Dekker, New York.

Probability and Statistics Newsgroups

sci.stat.consult

sci.stat.edu

sci.stat.math

Probability and Statistics Websites and Software

Statlib , by the Carnegie Mellon University Statistics Department, is one of the largest sites for distributing statistical software, datasets, and information.

York U.'s index of Statistics and Statistical Graphics Resources

StatServ is a large search engine for free and commercial statistics resources.

Stata links is a large list of free and commercial statistics resources.

See Lisp Numerical/Scientific Libraries for info on lisp-stat.

Alan Miller's Page is a collection of code for statistical use. This code is in Fortran 90, and includes random number generation, least squares including both non-linear and non-negative (linear) least squares, and the evaluation of some common distribution functions.

Ox, by Jurgen A. Doornik, is an object oriented matrix programming language, with a C and C++ like syntax. Ox currently has versions for Windows (PC and Alpha), MS-DOS, Linux, SunOS, Solaris and HP-UX. Packages include: Estimation and forecasting of ARFIMA(p,d,q) and ARMA(p,q) models; QuadPack is a Fortran library for univariate numerical integration (`quadrature') using adaptive rules SSFPack is a package for analysing univariate Gaussian and non-Gaussian time series which can be placed in the state space form (SSF); MaxBFGS() can be used to maximize functions of many parameters such as likelihood functions; The PcFiml class contains code for VARs, cointegration, simultaneous equations estimation, (multivariate) diagnostic tests; the Simulation class allows for easy implementation of simulation experiments. Some examples are in ox/samples/simula.

U. Texas Dept of Biomathematics software is a collection, mostly Fortran, but some is also in C. DCDFLIB is a good set of functions for computing cumulative distribution function values.

Gary Perlman's C program for a Normal, Chi-square, and F distributions.

NAG (Numercal Algorithms Group) has an extensive library