I am doing signal analysis for a time series and the assumption of signal is
S = F + e
Where S is the original signal, F is the frequency component and e is white noise (auto-regressive time series with moving average = 0). I have a large number of samples, say, N samples; and I can do wavelet decomposition for all them to obtain N number of coefficients arrays.
Now my question is what's the proper way to combine all those coefficients to achieve an "average" of the coefficients, so that e would have smallest standard deviation? I tried to do arithmetic average or average norm times average coefficients vector by cross product; but I couldn't prove either of them is a proper way.
Thanks in advance for your help.