Cronos


An Open Source Time Series Analysis Package

Features

  • Graphical User Interface
  • Highly Efficient Numerical Algorithms
  • Estimates and Forecasts for
    • ARMA/ARIMA models
    • Long-memory ARFIMA models
    • ARCH/GARCH/EGARCH models
    • Stochastic Volatility Models
  • Handles missing data
  • Both Bayesian and Frequentist Analysis
  • Freely available with source (GNU General Public License)
Latest Version: 1.41

(Click either to install or to upgrade from an older version.)


Downloads

Note: Under the terms of the GPL, this program is free software; you can redistribute it and/or modify it under the terms of the GNU Library General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version.

This library is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Library General Public License for more details.

The file COPYING in the source package (.tar.gz file) below contains the GNU Library General Public License.

Version Date Posted Windows Executable Complete Source Notes
1.41 Mar. 23rd, 2008 cronos-1.41-setup cronos-1.41.tar.gz
  • bug fixes for new gtkmm library: screen refresh, eps export
1.40 Jan. 17th, 2007 cronos-1.40-setup cronos-1.40.tar.gz
  • several aesthetic improvements
  • forecasting is now Monte Carlo (simulation) based - this allows for accurate estimation of predictive quantiles for nonlinear and non-Gaussian models
1.31 Jul. 10th, 2006 cronos-1.31-setup cronos-1.31.tar.gz
  • bug fix release: eliminated intermittent crashing problem after specifying ARMA models
1.30 Apr. 27th, 2006 cronos-1.30-setup cronos-1.30.tar.gz
  • supports EGARCH models
  • more bug fixes
  • time-reversal transformation added
1.27 Mar. 22nd, 2006 cronos-1.27-setup cronos-1.27.tar.gz
  • more bug fixes
  • "custom" transformation added: can enter standard functional expressions
1.25 Feb. 17th, 2006 cronos-1.25-setup cronos-1.25.tar.gz
  • more bug fixes, package name change to Cronos
  • Windows version has a standard Windows installation package
  • spectral densities and periodograms included
  • can view continuous-time (diffusion) versions of models
1.21 Apr. 8th, 2005 ostsap-1.21.tar.gz
  • Same gtk+ and gtkmm runtime required as for 1.10
  • Changes: residual windows include q-q plots instead of PACF
1.20 Mar. 1st, 2005 ostsap-1.20.tar.gz
  • Changes: stochastic volatility models supported + bug fixes + scaling of ACF/PACF plots
1.10 Feb. 23rd, 2005 ostsap-1.10.tar.gz
  • Changes: bug fixes + computation of standard errors of param. estimates
1.01 Sep. 21st, 2004 ostsap-1.01.tar.gz
  • Uses gtk+ runtime 2.4.5, gtkmm runtime 2.4.9


Details

This is a time series analysis package written using the Gtk+ graphical toolkit, with the following features. From the point of view of programmers/researchers, it has the following useful properties.


Installation instructions

For Windows

Download and execute the setup file. (You can also just click on the large button above.) If you do not already have them, you will be asked to install the gtkmm run-time libraries on your system. When you install these, you may be asked to install gtk+ run-time libraries on your system. Answer yes to both questions. Without these run-time libraries, Cronos will not work. A shortcut will be placed on the desktop during installation.

For Linux (Compilation Required)

Prerequisites: You'll need the development version of the Gtkmm-2.4 (or later) library, as well as the development version of the Gtk+-2.4 (or later) library. In addition, you'll need the GNU scientific library version 1.4 or later.

Process: After making sure the development packages listed above are installed on your system, download the Cronos source tar file (below), untar it into a directory, go into the directory, and at the command prompt, execute the following commands.

The configure program takes the usual autoconf options, see the INSTALL file contained in the source package (.tar.gz file) for more details.

Note that I haven't quite worked out how to get the automake tools to ensure that linking specifies libraries in the correct order. Yo may have to link manually if you get unresolved references.

Windows Compilation (Not necessary unless you want to customize/alter the program in Windows.)

In Windows, you can also try to compile Cronos directly from the source package. This isn't particularly easy, but, roughly speaking, can be done using the following steps.


User's Guide

Unfortunately, this has not yet been written. However, the program is (hopefully) somewhat logically organized, and easy to work out how to use. The fundamental principle of operation is that, at any given time, the program keeps track of two things: a time series data set, and a time series model. All operations apply either to the current data set, the current model, or (for instance, in the case of residual analysis) to the combination of the two.

To work with graphs (i.e. change properties, export to encapsulated postscript files, etc.), right-click the mouse over them.


Feedback

If you have general comments on the usefulness of the program, questions about making it work, bugs to report, etc., feel free to contact the author, Anthony Brockwell.


Last modified: Jan. 17th, 2007, by Anthony Brockwell.