Two different procedures are studied by which a frequency analysis of a time-dependent signal can be effected, locally in time. The first procedure is the short-time or windowed Fourier transform, the second is the “wavelet transform,” in which high frequency components are studied with sharper time resolution than low frequency components. The similarities and the differences between these two methods are discussed. For both schemes a detailed study is made of the reconstruction method and its stability, as a function of the chosen time-frequency density. Finally the notion of “time-frequency localization” is made precise, within this framework, by two localization theorems. © 1990 IEEE