Weighted averages of brain evoked potentials (EP's) are obtained by weighting each single EP sweep prior to averaging. These weights are shown to maximize the signal-to-noise ratio (SNR) of the resulting average if they satisfy a generalized eigenvalue problem involving the correlation matrices of the underlying signal and noise components. The signal and noise correlation matrices are difficult to estimate and the solution of the generalized eigenvalue problem is often computationally impractical for real-time processing. Correspondingly, a number of simplifying assumptions about the signal and noise correlation matrices are made which allow an efficient method of approximating the maximum SNR weights. Experimental results are given using actual auditory EP data which demonstrate that the resulting weighted average has estimated SNR's that are up to 21% greater than the conventional ensemble average SNR.