What is Power Spectral Density and how is it estimated?

PSD describes signal power distribution across frequencies. For random signals, PSD S(f) = Fourier transform of autocorrelation (Wiener-Khinchin theorem). Estimation methods: Periodogram (|FFT|^2/N), high variance but simple; Welch method (average periodograms of overlapping windowed segments), reduced variance; Blackman-Tukey (Fourier transform of windowed autocorrelation estimate); and Parametric methods (AR, ARMA model fitting, good frequency resolution with short data). Trade-offs: frequency resolution vs variance vs bias. Welch is most common for general use.