How do I apply a function window to a signal?

How can I apply a window function like Hamming or Lanczos to a signal, using its coefficients?

I mean, which method can I use to do this? FFT? Convolution? Which method has the better performance?

Answer

I wrote this long answer for someone yesterday on stackoverflow.com . .

https://stackoverflow.com/questions/9694297/matlab-fft-xaxis-limits-messing-up-and-fftshift/9699983#9699983

It is a matlab based example showing how to use the FFT for analysis, but it might give you some ideas About half way through the second code block, I apply a window function to a buffered signal. This is effectively a vector multiplication of the window function with each buffered block of time series data. I just use a sneaky diagonal matrix trick to do it efficiently.