What is the disadvantage of oversampling a signal?

For example, if I sample a signal at twice the Nyquist sampling rate, what will the disadvantages?

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You asked the disadvantages, do you know the advantages? there are numerous advantages going beyond nyquist. If you like to really see the signal, you must sample 10x the expected frequency. –  Ktc May 3 '12 at 12:06

First thing: the Nyquist rate is not sufficient to obtain a correct sampling of a signal, it's just the theoretical minimum. Reasonable sampling rates go from twice the Nyquist rate (four-five times the maximum frequency) up.

Several ADC architectures use oversampling with averaging to obtain higher precision than the converter itself achieves. The extreme case is the one of sigma-delta converters, where a 1-bit ADC (just a comparator) is run at very high speed ($2^N$ samples/value, where N is the resolution in bits) to achieve the highest linearity, because the 1-bit conversion is linear by definition.

The drawback of oversampling is of course higher speed required for the ADC and the processing unit (higher complexity and cost), but there may be also other troubles. You can see also that, at a given ADC speed, oversampling will require more time so an overall slower speed.

For instance, if an ADC is calibrated to sample at a multiple of 50/60 Hz, changing the sampling frequency in a (weird) way may cancel this property, resulting in the increase of the noise coming from the mains.
If the sample/hold circuit is not appropriate, it may also increase the load that the converter has on the input signal.

But the main tradeoff is between accuracy and complexity/speed.

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