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The roles which spectral density of fractional frequency fluctuations, two-sample variance, and power spectra play in different parts of the electromagnetic spectrum are introduced. Their relationship is discussed. Data acquisition in the frequency and the time domain is considered, and examples are given throughout the spectrum. Recently proposed methods for the characterization of a single high-quality frequency source are briefly described. Possible difficulties and limitations in the interpretation of measurement results are specified, mostly in the presence of a dead time between measurements. The link between past developments in the field, such as two-sample variance and spectral analysis from time domain measurement, and recently introduced structure functions is emphasized.