A method of transmitting a pilot method in a multi-antenna system is provided. The method comprises generating a preceding matrix including a preceding vector, the preceding vector being applied to each of data streams to be transmitted, performing preceding procedure for a pilot by using the preceding matrix, and transmitting the precoded pilot, wherein transmission power of the precoded pilot is determined specifically to the each of the data streams. The transmission power of a precoded pilot can be controlled adaptively, individually and independently for each channel to improve channel estimation performance.