I'd like to see the answer with qualitative view on the problem, not just definition. Examples and analogous from other areas of applied math also would be good.
I understand, my question is silly, but I can't find good and intuitive introduction textbook on signal processing — if someone would suggest one, I will be happy.
Best Answer
It depends on where you apply the window function. If you do it in the time domain, it's because you only want to analyze the periodic behavior of the function in a short duration. You do this when you don't believe that your data is from a stationary process.
If you do it in the frequency domain, then you do it to isolate a specific set of frequencies for further analysis; you do this when you believe that (for instance) high-frequency components are spurious.
The first three chapters of "A Wavelet Tour of Signal Processing" by Stephane Mallat have an excellent introduction to signal processing in general, and chapter 4 goes into a very good discussion of windowing and time-frequency representations in both continuous and discrete time, along with a few worked-out examples.