Possibilities and limitations of weighted averaging

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Abstract
A statistical analysis of a weighted averaging procedure for the estimation of small signals buried in noise (Hoke et al. 1984a) is given. The weighting factor used by this method is in inverse proportion to the variance estimated for the noise. It is shown that, compred to conventional averaging, weighted averaging can improve the signal-to-noise ratio to a high extent if the variance of the noise changes as a function of time. On the other hand, uncritical application of the method involves the danger that the signal amplitude is underestimated. How serious this effect is depends on the number of degrees of freedom available for the estimation of the weighting factor. The effect can be neglected, if this number is sufficiently increased by means of an appropriate preprocessing.