Computing reliable power spectra

Techniques of harmonic analysis have recently crystallized into modern power-spectrum analysis, the presently accepted ``best'' tool for uncovering periodicities and near-periodicities hidden in noisy data. Despite the simplicity of this concept-to electrical engineers, at least-computing a meaningful power spectrum involves several subtleties that are too easily overlooked by the nonspecialist. This article presents an elementary review of such pit-falls and of their origins.