Welch method
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In physics and applied mathematics, Welch's method, named after P.D. Welch, is used for estimating power spectra.
This method is used by MATLAB's PSD command to calculate spectral density.
The Welch method splits a set of data into smaller sets of data and calculates the periodogram (the power spectrum) of each set. Then the frequency domain coefficients arising from calculating the periodograms are averaged over the frequency components of each data set. This results in a power spectrum which is a smoothed version of the original, with less noise. In this way, the Welch method is a way of low pass filtering data.
Reference
- "The Use of Fast Fourier Transform for the Estimation of Power Spectra: A Method Based on Time Averaging Over Short, Modified Periodograms", IEEE Transactions on Audio Electroacoustics, Volume AU-15 (June 1967), pages 70-73.