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Filtering and System Identification by Vincent Verdult, Michel Verhaegen

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6

Estimation of spectra and frequency-response functions

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After studying this chapter you will be able to

•  use the discrete Fourier transform to transform finite-length time signals to the frequency domain;

•  describe the properties of the discrete Fourier transform;

•  relate the discrete Fourier transform to the discrete-time Fourier transform;

•  efficiently compute the discrete Fourier transform using fast-Fourier-transform algorithms;

•  estimate spectra from finite-length data sequences;

•  reduce the variance of spectral estimates using blocked data processing and windowing techniques;

•  estimate the frequency-response function (FRF) ...

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