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NESC0825 MESA.

MESA, Fourier Analysis of Maximum Entropy Spectra and Correlation Function Analysis

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1. NAME OR DESIGNATION OF PROGRAM:  MESA.
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2. COMPUTERS
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Program name Package id Status Status date
MESA NESC0825/02 Tested 14-OCT-1986

Machines used:

Package ID Orig. computer Test computer
NESC0825/02 IBM 3033 IBM 3081
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3. DESCRIPTION OF PROBLEM OR FUNCTION

The MESA program determines periodic components from input data which represent a time series.
Transformations may be performed on the raw data before doing the spectral analysis. Routines are included to calculate both the Fourier spectrum and maximum entropy spectrum, the Yule-Walker estimates of the autocovariance function, the periodogram ordinates, the cumulative periodogram, the autocorrelation function resulting from the maximum entropy computations, and the final prediction error, if desired.
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4. METHOD OF SOLUTION

A test for white noise is performed using the cumulative periodogram. The Fourier power spectrum and the maximum entropy spectrum are used for estimating the period of the time series. The maximum entropy spectral analysis is based on the spectrum that corresponds to the most random and least predictable time series whose autocorrelation function agrees with the given input values.
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5. RESTRICTIONS ON THE COMPLEXITY OF THE PROBLEM

Maxima of -
     5 spectra
     5 transformations
   600 data points
   599 frequencies
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6. TYPICAL RUNNING TIME

Approximately 30 seconds are required to process a time series of 100 data points, using 600 frequencies and  one maximum entropy spectrum. The time required depends primarily on the length of the time series, the number of frequencies used and the number of times MESA is performed.
NESC0825/02
NEA-DB compiled, linked, and executed the test case included in this package on an IBM 3081 computer in 30 seconds of CPU time.
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7. UNUSUAL FEATURES OF THE PROGRAM:
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8. RELATED AND AUXILIARY PROGRAMS:
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9. STATUS
Package ID Status date Status
NESC0825/02 14-OCT-1986 Tested at NEADB
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10. REFERENCES

- B.I. Kirk, B.W. Rust, and W. Van Winkle,
  Time Series Analysis by the Maximum Entropy Method,
  ORNL-5332, January 1979.
- J.P. Burg,
  Maximum Entropy Spectral Analysis,
  Ph. D. Thesis, Stanford University, Department of Geophysics,
  May 1975.
NESC0825/02, included references:
- B.L. Kirk and B.W. Rust:
  Inductive Time Series Modeling Program.
  ORNL/TM-7534  (October 1985)
- B.L. Kirk, B.W. Rust and W. Van Winkle:
  Time Series Analysis by the Maximum Entropy Method
  ORNL-5332  (January 1979)
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11. MACHINE REQUIREMENTS

250 to 320K bytes of main memory are required with one input unit (logical unit 5) and one output unit (logical unit 6).
NESC0825/02
To execute the test case included in this package on an IBM 3081 computer, 584K bytes of main storage are required.
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12. PROGRAMMING LANGUAGE(S) USED
Package ID Computer language
NESC0825/02 FORTRAN-77
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13. OPERATING SYSTEM UNDER WHICH PROGRAM IS EXECUTED:  OS/360 (IBM 360), OS/370 (IBM 370).
NESC0825/02
MVS/SP (IBM 3081).
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14. OTHER PROGRAMMING OR OPERATING INFORMATION OR RESTRICTIONS

For
plotting, the program makes use of the Integrated Software Systems Corporation (ISSCO) proprietary software product, DISSPLA. A subroutine with dummy entry points has been supplied by NESC to prevent unresolved external references. The DCADBE and UERTST sub- routines included are from the proprietary International Mathema- tical and Statistical Libraries, Incorporated (IMSL). These routines may not be redistributed or removed for use in other software.
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15. NAME AND ESTABLISHMENT OF AUTHOR

B.L. Kirk, B.W. Rust, and W. Van Winkle
Oak Ridge National Laboratory
P.O. Box X
Oak Ridge, Tennessee 37830
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16. MATERIAL AVAILABLE
NESC0825/02
File name File description Records
NESC0825_02.001 This information file 60
NESC0825_02.002 MESA program source, FORTRAN 77 5739
NESC0825_02.003 JCL 59
NESC0825_02.004 Test case input 229
NESC0825_02.005 Test case output 1974
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17. CATEGORIES
  • P. General Mathematical and Computing System Routines

Keywords: statistics.