Euclidean distance matrices (EDMs) are central players in many diverse fields including psychometrics, NMR spectroscopy, machine learning and sensor networks. However, they are not often exploited in signal processing. In this thesis, we analyze attributes of EDMs and derive new key properties of them. These analyses allow us to propose algorithms to approximate EDMs and provide analytic bounds on the performance of our methods. We use these techniques to suggest new solutions for several practical problems in signal processing. Together with these properties, algorithms and applications, EDMs can thus be considered as a fundamental toolbox to be used in signal processing. In more detail, we start by introducing the structure and properties of EDMs. In particular, we focus on their rank property; the rank of an EDM is at most the dimension of the set of points generating it plus 2. Using this property, we introduce the use of low rank matrix completion methods for approximating and completing noisy and partially revealed EDMs. We apply this algorithm to the problem of sensor position calibration in ultrasound tomography devices. By adapting the matrix completion framework, in addition to proposing a self calibration process for these devices, we also provide analytic bounds for the calibration error. We then study the problem of sensor localization using distance information by minimizing a non-linear cost function known as the s-stress function in the multidimensional scaling (MDS) community. We derive key properties of this cost function that can be used to reduce the search domain for finding its global minimum. We provide an efficient, low cost and distributed algorithm for minimizing this cost function for incomplete networks and noisy measurements. In randomized experiments, the proposed method converges to the global minimum of the s-stress in more than 99% of the cases. We also address the open problem of existence of non-global minimizers of the s-stress and reduce this problem to a hypothesis. If the hypothesis is true then the cost function has only global minimizers, otherwise, it has non-global minimizers. Using the rank property of EDMs and the proposed minimization algorithm for approximating them, we address an interesting and practical problem in acoustics. We show that using five microphones and one loudspeaker, we can hear the shape of a room. We reformulate this problem as finding the locations of the image sources of the loudspeaker with respect to the walls. We propose an algorithm to find these positions only using first-order echoes. We prove that the reconstruction of the room is almost surely unique. We further introduce a new algorithm for locating a microphone inside a known room using only one loudspeaker. Our experimental evaluations conducted on the EPFL campus and also in the Lausanne cathedral, confirm the robustness and accuracy of the proposed methods. By integrating further properties of EDMs into the matrix completion framework, we propose a new method for calibrating microphone arrays in a diffuse noise field. We use a specific characterization of diffuse noise fields to relate the coherence of recorded signals by two microphones to their mutual distance. As this model is not reliable for large distances between microphones, we use matrix completion coupled with other properties of EDMs to estimate these distances and calibrate the microphone array. Evaluation of our algorithm using real data measurements demonstrates, for the first time, the possibility of accurately calibrating large ad-hoc microphone arrays in a diffuse noise field. The last part of the thesis addresses a central problem in signal processing; the design of discrete-time filters (equivalently window functions) that are compact both in time and frequency. By properly adapting the definitions of compactness in the continuous time to discrete time, we formulate the search for maximally compact sequences as solving a semi-definite program. We show that the spectra of maximally compact sequences are a special class of Mathieu’s cosine functions. Using the asymptotic behavior of these functions, we provide a tight bound for the time-frequency spread of discrete-time sequences. Our analysis shows that the Heisenberg uncertainty bound on the time-frequency spread of sequences is not tight and the lower bound depends on the frequency spread, unlike in the continuous time case.