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This paper investigates the measurement errors involved in estimating frequency response functions (FRFs) - and related quantities such as the coherence function - from weighted overlapped segment averaging, a technique that has become a standard in modern data analyzers due to its computational advantages. Particular attention is paid to leakage errors, for which this technique has frequently been criticized. Our main result is that a half-sine or diff window with about 2/3 overlap achieves the best compromise to reduce leakage errors in the case of stationary random excitations, and this is independently of the system FRF. This conclusion is to be contrasted with the customary habit of using a Hanning window with 1/2 overlap. The same reasoning confirms that a rectangular window without overlap minimizes measurement errors in the special case of multisine excitations. Moreover, practical formulas are provided to the reader for computing the bias and variance of the frequency response and coherence functions in the general case.