In this study, the changes of the power spectral density (PSD) in the EEG data during eyes-closed and eyes-open states were analyzed. In the analysis, the interval of dominant frequencies was roughly determined with different approaches. The EEG signal is separated into sub bands with wavelet transform (WT). The Welch method which is the one of the classical methods was used for PSD prediction and the Burg and Yule-Walker parametric methods were used also for PSD prediction of the EEG signal. It was observed that the alpha rhythm is dominant band in the eyes closed state compared to eyes open state.