Simple, effective computation of principal eigenvectors and their eigenvalues and application to high-resolution estimation of frequencies

We present the results of a preliminary investigation of a method of Lanczos and the power method for simple computation of approximations to eigenvectors and eigenvalues. We concentrate on the application of high-resolution estimation of frequencies of multiple sinusoids. We find that the performance is similar to that of high-resolution estimates which are calculated using singular value decomposition of a data matrix or estimated covariance matrix. These methods are also suitable for VLSI implementation.