On sinusoid estimation in nonstationary noise

This note presents a sinusoid estimation algorithm, which will converge to the spectrum of the sinusoid process in nonstationary additive noise. The algorithm is in the framework of the tangential Nevanlinna-Pick setting. The procedure is a generalization of Capon's maximum likelihood estimate and some classical limit theorem for orthogonal polynomials. The method is used in an experimental example to find the natural frequencies of a lightly damped structure.