This paper treats the close conceptual relationships between the three basic approaches to estimation of transfer functions of linear systems: frequency analysis, spectral analysis and time domain prediction error methods. The emphasis of this paper is put on the empirical transfer function estimate (ETFE), which is a direct extension of the frequency response analysis to multifrequency inputs. It is used for exposing the connection between these basic methods. The estimation of transfer functions is one of the main projects which the author and his collaborators are at work on. This paper may also be regarded as a tutorial introduction for further reading.