ABSTRACT
Methods for estimating spectra are often divided into two groups: classical, and modern. Classical methods do not attempt to impose any model or structure on the data. They operate purely as nonparametric estimators. Methods for estimating spectra are often divided into two groups: classical, and modern. Classical methods do not attempt to impose any model or structure on the data. They operate purely as nonparametric estimators. Modern methods, by contrast, assume a model structure for the observed data, estimate the parameters of the model, and then use those estimates to form an estimate of the spectrum. The expected value of the periodogram is the convolution of the true spectrum with the Fourier transform of the window. This convolution with the window 'smooths' the spectrum and limits the resolution attainable by the estimator. By considering the expected value of the periodogram, the quantities involved are deterministic.
