A multiple window method for estimation of a peaked spectrum

The paper proposes a new multiple window method for estimating a peaked spectrum. The multiple windows are adapted to the signal, giving a less biased estimate for estimation of peaks than does the Thomson multiple window method. Still the result from estimation of a flat spectrum shows comparable results in variance reduction. The method is based on solution of an eigenvalue problem where the eigenvectors of a special correlation matrix are used as multiple windows. The correlation matrix corresponds to a low frequency dominant spectrum with limited bandwidth. The design results in windows that are further improved by a penalty function to reduce leakage from nearby frequencies. This gives a better estimate when the process contains of large spectrum dynamics.