Weighting effect on the discrete time Fourier transform of noisy signals

The effect of weighting on the uncertainty of the discrete time Fourier transform (DTFT) samples of a signal corrupted by additive noise is investigated. Making very weak assumptions, it is shown how the adopted window sequence and the autocovariance function of the noise affect the second-order stochastic moments of the frequency-domain data. The relationship obtained extends the results reported in the literature and is useful in many frequency-domain estimation problems. It is shown how the knowledge of the second-order moments of the transform has allowed the application of the least squares technique for the estimation of the parameters of a multifrequency signal in the frequency-domain. The estimator obtained is very useful when high-accuracy results are required under real-time constraints. The procedure exhibits a better accuracy than similar frequency-domain methods proposed in the literature.<
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