A new method for designing uniform and nonuniform digital filter banks with a specified composite response is presented. The composite response of the filter bank can be met either exactly or to within a given tolerance. We focus on filter banks in which the individual filters are finite impulse response (FIR) digital filters of possibly nonequal length, although the new method is applicable even to more general structures as well. The new method minimizes the weighted sum of the mean square errors in the response of the individual filters, subject to the composite response specifications. Sufficient conditions for either real, ness or phase linearity of the optimal individual filters are presented. The new weighted minimum mean square error (WMMSE) design method is interpreted from a statistical viewpoint as a maximization of the harmonic mean of the output signal-to-noise ratio (SNR) of the individual filters. The complexity of the new method is analyzed, and the design process is demonstrated via a design example.