Daniell (or Equal Weight) Window

In Time Series, the Daniell window (Daniell 1946) is a weighted moving average transformation used to smooth the periodogram values. This transformation amounts to a simple (equal weight) moving average transformation of the periodogram values, that is, each spectral density estimate is computed as the mean of the m/2 preceding and subsequent periodogram values. Note also that the Time Series method of analysis will standardize the weights so that they sum to 1.

See also: Basic Notations and Principles.