My old software is in Matlab, my recent software is mostly in Python, with a bit of C. Feel free to contact me if you have any problems. (Python is much nicer than Matlab, in my humble opinion; to get started, see www.scipy.org.) Please let me know if you are unable to download any of the packages below.
C and Python:
- cabsde: python package for "Computational aspects of Bayesian spectral density estimation" paper.
- py-smc2: Python implementation of SMC^2, by Pierre Jacob.
- Fast simulation of Truncated Gaussian distribution, [truncgauss.tgz]. Update (18/06/2012): fixed a small bug for the univariate algorithm pointed by Vincent Mazet, see also here for Vincent's Matlab implementation.
- Matlab implementation of EP-ABC (jointly written with Simon Barthemlé).
- Inference and model choice for time-ordered hidden Markov models, [shmm.tar.gz].
- Dynamic detection of change points in long time series, [changepoints.tar.gz], [changepoints.zip].
- A collection of simple routines, for simulating a Dirichlet r.v., computing its pdf, and other things, [routines.zip]. (you need these in order to run the previous programs.)