  Kernel-based methods have been recently introduced for linear system
identification as an alternative to parametric prediction error methods.
Adopting the Bayesian perspective, the impulse response is modeled as a
non-stationary Gaussian process with zero mean and with a certain kernel (i.e.
covariance) function. Choosing the kernel is one of the most challenging and
important issues. In the present paper we introduce the harmonic analysis of
this non-stationary process, and argue that this is an important tool which
helps in designing such kernel. Furthermore, this analysis suggests also an
effective way to approximate the kernel, which allows to reduce the
computational burden of the identification procedure.
