Note 31. Welch’s Periodogram
The Welch periodogram can be viewed as a generalization of the Bartlett periodogram. As with the Bartlett, the Welch periodogram is based on the notion of creating a pseudoensemble of sample sequences by dividing a long sequence of samples into a set of shorter segments. However, these shorter segments can be allowed to overlap with their neighbors for some portion of their length. Furthermore, a data window, w[n], is applied to each segment before the segment’s sample spectrum is computed. The specific steps for computing a Welch periodogram are listed in Recipe 31.1.
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