This paper studies the problem of distributed estimation of a static parameter with sensors communicating through an additive white Gaussian noise (AWGN) channel. In the noiseless case, we first introduce the concept of finite-time average consensus, in which nodes can compute exactly the average in a finite number of steps for an arbitrary graph, provided the topology is time-invariant. In fact, finite-time consensus is achieved owing to joint diagonalizable matrices. By considering a linear iterations scheme, we derive closed form expressions for such matrices. Then, based on an ensemble averaging method we show how average consensus can be asymptotically reached over AWGN channels. Performance analysis of the suggested protocol is given along with comparisons with other methods in the literature.