CRLB Example:

Single-Rx Emitter Location via Doppler

s (t; f1 ) t [t1 , t1 + T ]
s ( t ; f 2 ) t [t 2 , t 2 + T ]

s ( t ; f 3 ) t [t 3 , t 3 + T ]

Received Signal Parameters Depend on Location

Estimate Rx Signal Frequencies: f1, f2, f3, , fN
Then Use Measured Frequencies to Estimate Location

(X, Y, Z, fo)

Problem Background
Radar to be Located: at Unknown Location (X,Y,Z)
Transmits Radar Signal at Unknown Carrier Frequency fo
Signal is intercepted by airborne receiver
Known (Navigation Data):
Antenna Positions: (Xp(t), Yp(t), Zp(t))
Antenna Velocities: (Vx(t), Vy(t), Vz(t))
Goal: Estimate Parameter Vector x = [X Y Z fo]T

Physics of Problem
Emitter
Relative motion between
emitter and receiver
causes a Doppler shift of
the carrier frequency:
f (t , x ) = f o

u(t)

Receiver
v(t)

fo
v ( t ) u( t )
c

f o V x (t ) X p (t ) X + V y (t ) Y p (t ) Y + Vz (t ) Z p (t ) Z
= fo
c
X p (t ) X 2 + Y p (t ) Y 2 + Z p (t ) Z 2

) (

) (

) .

Because we estimate the frequency there is an error added:

~
f ( ti , x ) = f ( ti , x ) + v ( ti )
3

Estimation Problem Statement

Vector-Valued function of a Vector

Given:
Data Vector:

T
~
~
~
~
f (x) = f (t1 , x) f (t 2 , x) ! f (t N , x)

Navigation Info: X p (t1 ), X p (t2 ), ! , X p (t N )

Y p (t1 ), Y p (t2 ), ! , Y p (t N )
Z p (t1 ), Z p (t2 ), ! , Z p (t N )
V x (t1 ), V x (t2 ), ! ,V x (t N )
V y (t1 ), V y (t2 ), ! ,V y (t N )
Vz (t1 ), Vz (t2 ), ! ,Vz (t N )

Estimate:
Parameter Vector: [X Y Z fo]T

Right now only want to consider the CRLB

4

The CRLB
Note that this is a signal plus noise scenario:
The signal is the noise-free frequency values
The noise is the error made in measuring frequency
Assume zero-mean Gaussian noise with covariance matrix C:
Can use the General Gaussian Case of the CRLB
Of course validity of this depends on how closely the errors
of the frequency estimator really do follow this

~
Our data vector is distributed according to: f ( x ) ~ (f ( x ), C)
Only need the first term in the CRLB equation:
T

f ( x )
C 1

x
x

i
j

[J ] ij = f (x )

Only Mean Shows

Dependence on
parameter x!

I use J for the FIM instead of I to avoid confusion with the identity matrix.

Convenient Form for FIM

Called The Jacobian of f(x)

To put this into an easier form to look at Define a matrix H:

H=

where

f ( t, x )
= [h1 | h 2 | h 3 | h 4 ]
x
x = true value

x
j

h j = x j

x j

f (t1 , x )

f (t2 , x )

f (t N , x )
"
x =x

Then it is east to verify that the FIM becomes:

J = HT C 1H
6

CRLB Matrix
The Cramer-Rao bound covariance matrix then is:

CCRB ( x ) = J 1

= H C H

A closed-form expression for the partial derivatives needed for H can be

computed in terms of an arbitrary set of navigation data see Reading Version
of these notes.
Thus, for a given emitter-platform geometry it is possible to compute the
matrix H and then use it to compute the CRLB covariance matrix in (5), from
which an eigen-analysis can be done to determine the 4-D error ellipsoid.
Cant really plot a 4-D ellipsoid!!!
But it is possible to project this 4-D ellipsoid down into 3-D (or even 2-D) so
that you can see the effect of geometry.
7

Projection of Error Ellipsoids

See also Slice Of Error Ellipsoids

A zero-mean Gaussian vector of two vectors x & y: = x

T T

The the PDF is:

p () =

1
1
2

2 det (C )

exp 12 T C1

Cx
C =
C yx

Cxy
C y

The quadratic form in the exponential defines an ellipse:

1
C = k

Can choose k to make size of

ellipsoid such that falls
inside the ellipsoid with a
desired probability

Q: If we are given the covariance C how is x alone is distributed?

A: Extract the sub-matrix Cx out of C
8

Projection Example
Full Vector: = [ x y z ]T

Sub-Vector: x = [ x y ]T

We want to project the 3-D ellipsoid for

down into a 2-D ellipse for x
Projections of 3-D Ellipsoids onto 2-D Space

2-D ellipse still shows

the full range of
variations of x and y

2-D Projections Show

Expected Variation
in 2-D Space

x
9

Finding Projections
To find the projection of the CRLB ellipse:
1. Invert the FIM to get CCRB
2. Select the submatrix CCRB,sub from CCRB
3. Invert CCRB,sub to get Jproj
4. Compute the ellipse for the quadratic form of Jproj
Mathematically: CCRB ,sub = PCCRB PT
1 T

= PJ P

1 T 1

J proj = PJ P

P is a matrix formed from the identity matrix:

keep only the rows of the variables projecting onto

For this example, frequency-based emitter location: [X Y Z fo]T

To project this 4-D error ellipsoid onto the X-Y plane:
1 0 0 0
P=

0
1
0
0

10

Projections Applied to Emitter Location

Shows 2-D ellipses
that result from
projecting 4-D
ellipsoids

11

Slices of Error Ellipsoids

Q: What happens if one parameter were perfectly known.
Capture by setting that parameters error to zero
slice through the error ellipsoid.
Impact:
slice = projection when ellipsoid not tilted
slice < projection when ellipsoid is tilted.
Recall: Correlation causes tilt

z
Slices Show
Impact of Knowledge
of a Parameter

x
12