Spectral Analysis for Physical Applications:
Multitaper and Conventional Univariate Techniques
A book about the spectral analysis of time series by
Donald B. Percival and Andrew T. Walden,
published in 1993 by
Cambridge University Press,
Cambridge, UK, and described in various aspects in the following links:
Links to data sets and software related to the book:

download 9 time series used extensively as examples in the book

download other time series used as examples in the book

description of  and access to  the sapaclisp archive,
a collection of Common Lisp functions that implement most of the
procedures in the book (this archive is on StatLib)

DPSS,
a selfcontained FORTRAN subroutine (along with two auxillary routines)
for computing the DPSS multitapers via inverse iteration
(this routine resides on the
JCGS archive
on StatLib).
The inverse iteration scheme is a stable (but slow) method
for computing the DPSSs
and is described in Section 8.1 of the book
and also in a
JCGS paper
(upon which Section 8.1 was based).

[forthcoming]:
download PiTSSa, a standalone Macintosh program
that provides a friendly interface to sapaclisp