Re: "Everything between sample points is lost" Since that near brick-wall filter is highly impractical for any analogue filter, what is normally done is to sample higher than that, either a little bit more on sample rate (like 44.1kHz) and use good analogue filters, or a much, much higher sample rate and push the band-limiting problem in to the digital domain where it is practical to implement good filters (but with time delay, but for recording that in not a problem) and then to re-sample at a chosen lower rate. What is impotent is that 20kHz is an arbitrary value (but realistic limit for most younger humans, us old buggers are lucky to get 15kHz) and to avoid the very unpleasant business of aliasing you MUST be strictly limited to that value. If that initial assumption is true, for example that you only want/need 20Hz to 20kHz, then by sampling above twice the highest frequency (say at 40.0001kHz) than you are NOT losing any information by sampling. The key point about Nyquist's theorem is it starts with the assumption that the signal you are interested in is strictly limited in bandwidth. Re: "Everything between sample points is lost" spectacularly refined chap)
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