Prony analysis and matrix pencil method have been widely used for monitoring power system oscillations. In this paper, a performance study has been made on Prony analysis and matrix pencil method, which utilize single signal, as well as multiple signals, to estimate the dominant modes of oscillations. The performance of the two methods are evaluated on actual data obtained from PMUs interfaced to a real time power system simulator, in which test systems are simulated including the complete dynamical models of the equipment. The widely used WSCC 9-bus system, the 2-area 11-bus system, and the New England 39-bus system are taken as the test beds for the study.