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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.

Input File: prolate.omh