MESA Procedure

@MESA computes and optionally graphs a spectrum using Maximum Entropy Method. (Maximum entropy estimates an autoregressive representation and inverts it to obtain the estimates). The @SPECTRUM procedure is an alternative which uses the smoothed periodogram method of estimation.

@MESA( options ) series start end

Parameters

series	series to analyze
start, end	range of series to use. By default, the defined range of series.

Options

ORDINATES=number of ordinates [depends upon length,seasonal]

POLES=number of poles [depends upon number of observations]

For consistency, the number of poles should increase at a rate slower than the number of observations (such as square root).

[GRAPH]/NOGRAPH

[LOGSCALE]/NOLOGSCALE

Graph spectrum in log scale or not.

HEADER=Header for graph

FOOTER=Footer for graph

Example

Based upon Harvey(1989), example from 2.7.2, pp 86-87.

open data rainfall.prn

calendar(a) 1849

data(format=prn,org=columns) 1849:01 1979:01 rainfall

diff(center) rainfall / demean

@mesa(poles=16,nologscale,header="Empirical Spectrum") demean

Sample Graph

This is generated by the example.