Calculating Thomson's spectral multitapers by inverse iteration
The discrete prolate spheroidal sequences are eigenvectors of
a Toeplitz matrix.
The eigenvalues are in the open interval (0,1) and are distinct.
Some of the corresponding eigenvalues are very close to one.
These correspond to the windows that have the least leakage; i.e.,
the DPSS that we need to calculate.
We take advantage of the following facts:
the matrix is Toeplitz and
the eigenvalues are
close to one and distinct.
This enables us
to calculate the eigenvalues in a fast and accurate manner.