B. M. Bell, D. B. Percival and A. T. Walden (1993), `Calculating Thomson's Spectral Multitapers by Inverse Iteration,' Journal of Computational and Graphical Statistics, 2, no. 1, pp. 119-30.
Spectral estimation using a set of orthogonal tapers is becoming widely used and appreciated in scientific research. It produces direct spectral estimates with more than 2 df at each Fourier frequency, resulting in spectral estimators with reduced variance. Computation of the orthogonal tapers from the basic defining equation is difficult, however, due to the instability of the calculations - the eigenproblem is very poorly conditioned. In this article the severe numerical instability problems are illustrated and then a technique for stable calculation of the tapers -- namely, inverse iteration - is described. Each iteration involves the solution of a matrix equation. Because the matrix has Toeplitz form, the Levinson recursions are used to rapidly solve the matrix equation. FORTRAN code for this method is available through the StatLib archive. An alterative stable method is also briefly reviewed.
Levinson recursions; Spectral estimation; Tapering; Toeplitz matrix
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