SUMMARY
Calculates the spectral estimate using the Maximum Entropy Method.
SYNTAX
MEM {[O]RDER n}, {[N]UMBER n}
INPUT
ORDER n: Set the order of the prediction error filter in lags to n. NUMBER n: Set the number of points to be used in the spectral estimate.
DEFAULT VALUES
MEM ORDER 25
DESCRIPTION
This command implements the Maximum Entropy Method estimator. This estimator is a parametric method, which uses a prediction error filter to whiten the data. The resulting spectral estimate is proportional to the inverse of the filter's power frequency response. The user is free to choose the order of the prediction error filter. See the documentation of the PPE command for further details.
The principal advantage of this method is the very high resolution that it can achieve with a relatively small amount of data. Its disadvantage is that less can be said about it theoretically than about the conventional method.
Documentation for this method can be found in the review paper on linear prediction by John Makhoul in "Modern Spectrum Analysis." The formal name of the actual method implemented is the Yule-Walker method.
ERROR MESSAGES
- 5003 No correlation function calculated.