AutoSignal 

Scientists and engineers can perform complex signal analysis without programming by selecting menu items that determine how the computer will analyze and present data.
wavelet stft signal analysis signal processing wavelet analysis financial analysis wavelets wavelet signal processing fft auto regression auto regressive time series financial time series

Matrix TCL 

This is a C++ template class library to perform matrix calculations with ease and efficiency in your programs. It supports most of the matrix calculations that you may need to do in your C++ programs. Full source code is included with the package.
c++ matrix template class library inversion lu decompositions linear equations value vector arithmetic