This paper gives an example of an auto-regressive (AR) spectral analysis on transient musical sounds. The attack part of many musical sounds is mostly too short to be analysed by a short-time Fourier analysis, whereas this short period of time is long enough for several AR-methods. The AR-spectra obtained from short segments of signals with attack transients have a sufficiently high frequency resolution. These spectra contain more information about the evolution of a sound than a fast Fourier transform made over a small amount of samples.