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1053-587X/$25.00 © 2007 IEEE
3547
Error Analysis and Bounds in Time Delay Estimation
Petr Pánek
Abstract—We have analyzed the error propagation in the classical delay
estimation based on the identification of the maximum of the cross correla-
tion between the input signals. The resulting error propagation model has
the form of a linear combination of the errors additional to the signal sam-
ples. These errors are weighted by the derivative of the input signals at the
sampling instants. Based on the error propagation model we have further
found an upper bound to the square of the estimation error. The use of the
model is demonstrated by two simple examples.
Index Terms—Delay estimation, error analysis, error propagation.
I. INTRODUCTION
The objective of the time delay estimation is to determine the
()
delay D between a signal s1 t and its scaled delayed version
()=
s2 t ( )
as1 t 0 D where a is the scaling factor. We consider the
use of the classical delay estimator based on the identification of the
maximum of the cross correlation between the input signals. This
can be found using the maximum likelihood approach and is widely
discussed for the case of random noise [1]–[11].
We will focus on looking for a deterministic model of the error prop-
agation in this estimator as a tool for particular delay estimation error
analysis. For discrete time processing we assume continuous real sig-
2
nals which are effectively band-limited to fm < fs = where fs is the
sampling frequency. Note that the same results we would get also for
undersampled narrowband signals.
For the purpose of the analysis we will use the following model of
the estimation process. At the input of the estimator we have samples
( ) = s1 (kT ) + "1 (kT );
x1 kT (1)
( ) = s2 (kT ) + "2 (kT );
x2 kT (2)
where k is the discrete time index, T = 1=fs is the sampling period,
and "1 (kT ), "2 (kT ) are additive errors. First, the continuous signals
x1 (t), x2 (t) are reconstructed from all nonzero samples using an ideal
interpolator. After that the estimation of the delay is determined as
^ = arg max R( )
D (3)
()
where R  is the cross correlation formally defined as
1 3
( )=
R  x1 (t)x2 (t +  )dt (4)
01
where the asterisk denotes complex conjugation.
II. ERROR PROPAGATION
We will find the error propagation from additive errors "1 kT , ( )
( )
"2 kT to the time delay estimation error
1 = D^ 0 D: (5)
Manuscript received May 30, 2006; revised October 6, 2006. This work was
supported by the AV0Z 20670512 Research Plan. The associate editor coordi-
nating the review of this manuscript and approving it for publication was Prof.
S. M. Kay.
The author is with the Institute of Radio Engineering and Electronics,
Academy of Sciences of the Czech Republic, 182 51 Prague, Czech Republic
(e-mail: petr.panek@ure.cas.cz).
Digital Object Identifier 10.1109/TSP.2007.894417
3548 IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 55, NO. 7, JULY 2007

() ()
The reconstructed signals x1 t , x2 t are band-limited, thus, we Note that the numerators in (17) represent the sums of the additive

^
can suppose that the cross correlation (4) has a derivative at the point errors weighted by the derivative of the signals at the sample times.
of estimation D , and it follows from (3) that this derivative Furthermore, the influence of the errors decreases with the sample fre-
R_ (D
^ ) = 0: (6) quency and with the energy of the derivative of the signals.
In the special case of active time delay measurement [5], i.e., with
By linearizing the first derivative in the previous relation around the ()
exactly known transmitted signal s1 t , the first term in (17) is zero
true value D and we have
R_ (D) + (D
^ 0 D)R(D) = 0 (7) " (kT )_s (kT )
2 2
1 k
fs Es_ 2
: (18)
the error (5) can be expressed in the form
_
1 = 0 RR ((DD)) : (8) III. UPPER BOUND OF THE SQUARE ERROR

The interpolated signals (1), (2) have the spectra We will find an upper bound of the square of the error (17) in the
form which does not depend on the signal shape but only on the energy
S1 f T "1 kT e0j 2fkT ; jf j < f2
( )+ ( )
Sx1 f ( )= k (9)
of its derivative.
; 0 jf j  f 2
The Cauchy inequality can be modified into the form
2

aS1 (f )e0j 2fD + T "2 (kT )e0j 2fkT ; jf j < f a1k b1k + a2k b2k  a21k b12k
Sx2 (f ) =
2
k k k k k
0; jf j  f 2
+ a21k b22k
(10)
()
where S1 f is the spectrum of the signal s1 t . Using the above () +
k
a 2
k
b12k
spectra to express the first derivative of the cross correlation 2k
k k
1
R_ (D) = j 2 fSx31 (f )Sx2 (f )ej 2fD df (11) + a 2
2k b22k : (19)
01 k k
we can write Using (19) and considering
f =2
R_ (D) = j 2 f S13 (f ) + T "1 (kT )ej 2fkT T s_ 2 (kT ) = Es_ (20)
0f =2 k k

aS1 (f )e0j 2fD + T "2 (lT )e0j 2flT

we have the upper bound of the squared error in the form
2
2 ej 2fD df:
l
(12)
1  f1s
2
"12 (kT ) + "22 (kT )
_2
1 + 1
Es_ 1 Es
: (21)
k k
( ) ( )
Considering small errors "1 kT , "2 kT , we can use linearization For the case of the active time delay measurement, we have
around the true values of the samples and approximate the first deriva- "22 (kT )
tive of the cross correlation as
1 3
1  2 k
fs Es_ 2
: (22)
R_ (D)  j 2T "2 (kT ) fS1 (f ) ej 2f (kT 0D) df
k 01
IV. GENERALIZED CROSS CORRELATION (GCC)
1
+a" (kT )
1 fS1 (f )ej 2fkT df : (13) The above error propagation model can be extended to the time delay
01 estimation based on the GCC [2]–[4] defined as
1
Rg (D) = W (f )Sx31 (f )Sx2 (f )ej 2fD df
The integrals in (13) represent the inverse Fourier transform. Thus
(23)
the relation can be converted into the form 01
R_ (D)  T
1 " (kT )_s (kT ) + a" (kT )_s (kT )
2 2 1 1 (14) ()
where W f is an even, positive, real weighting function.
k
a It results from the GCC definition that the first and second derivatives
_ () _ ()
where s1 t , s2 t are the derivatives of the signals s1 t , s2 t . () () of the GCC are
1
R_ g (D) = j 2 fW (f )Sx31 (f )Sx2 (f )ej 2fD df
Similarly, the second derivative of the cross correlation
(24)
1 01
R (D) = 04 2
f Sx31 (f )Sx2 (f )ej 2fD df
2
(15) and
01 1
can be approximated R g (D) = 042 f 2 W (f )Sx31 (f )Sx2 (f )ej 2fD df: (25)
1 01
R (D)  04a2 f 2 jS1 (f )j2 df = 0aEs _1 = 0 1 Es
a _2 (16)
Following the same procedure as in Section II, we have, considering
01 (24) and (25), the error propagation model
where Es_ 1 , Es_ 2 is the energy of the derivative of the signal s1 t and () "1 (kT )u_ 1 (kT ) "2 (kT )u_ 2 (kT )
s 1 ( t) .
Substituting (14) and (16) into (8), we have the model of error prop- 1  f1s k
Ev_ 1
+ k
Ev_ 2
(26)
agation from additive errors to the time delay estimation
"1 (kT )_s1 (kT ) "2 (kT )_s2 (kT ) where
1  f1s k
Es_ 1
+ k
Es_ 2
: (17)
ui (t) =
1
W (f )Si (f )ej 2ft df; i = 1; 2 (27)
01
IEEE TRANSACTIONS ON SIGNAL PROCESSING, VOL. 55, NO. 7, JULY 2007 3549

and Ev_ 1 , Ev_ 2 are the amounts of energy of the derivatives of the signals where N is the number of the signal samples which have to be used for
1 the time delay estimation. Similarly, for the active time delay measure-
vi (t) = H (f )Si (f )ej 2ft df; i = 1; 2 (28) ment we have
01
j1 j  A 2N :
()
where H f is a function such that W f ( )= ( )
jH f j 2 . fs Es_ 2
(36)
Obviously, this error propagation model has the same form as (17)
but the derivatives of the input signals in the numerator are modified by VI. CONCLUSION
()
a filter with the real frequency response W f . Similarly, the amount of We have analyzed the error propagation in the time delay estimator
energy of the input signal derivatives in the denominator corresponds to by considering the classical delay estimation based upon the identifica-
derivatives of the input signals modified by a filter with the frequency tion of the maximum of the cross correlation between the input signals.
()
response H f . The resulting error propagation model (17) has the form of a linear
combination of the errors additive to the signal samples. The errors are
V. EXAMPLES weighted by the derivative of the input signals at the sampling instants.
Furthermore, the delay estimation error falls with the sample frequency
As two simple examples of the use of the error propagation model, and the energy of the derivative of the input signals. In the special case
we will investigate the influence of additive white noise on the delay of the active time delay measurement when only errors of one received
estimation, and the impact of limited errors on the individual samples. signal can be considered, the simplified model (18) holds. Since the
model is based on linearization, its validity is limited to the cases with
A. Additive White Noise
small errors.
We consider that the samples (1), (2) are affected by additive inde- Based on the error propagation model we have found an upper bound
( ) ( )
pendent unbiased random errors n1 kT , n2 kT with variances 12 (21) of the square error. The upper bound is proportional to the sum of
and 22 , respectively. Using the error propagation model (17) the vari- the squared additive errors at individual samples and does not depend
ance of the random delay estimation error can be expressed as on the concrete form of the signal but only on the energy of its deriva-
12 s_ 12 (kT ) 22 s_ 22 (kT ) tive. The upper bound for the case of the active time delay measurement
Var[1] = f12 k
Es2_
+ k
Es_ 2 : (29)
is given in (22).
The error propagation model has been further extended to the time
s
delay estimation based on the generalized cross correlation which has
Considering (20), we can write formally the same form (26) but the input signals are modified by pre-

Var[1] = f1s 12 2

+ Es_22
filtering.
(30) The described error propagation model can be used as a starting point
Es_ 1
for the analysis of the influence of particular errors on the delay esti-
and for the active time delay measurement mation.
2
Var[1] = fsE2s_ 2 : (31) ACKNOWLEDGMENT
The author would like to thank J. Čermák and Dr. Z. Hrdina for
We can rearrange (31) to obtain the error variation for the common helpful discussions and Prof. R. L. Dowden for the English revision
case with continuous white noise. Substituting the variance of the input of the manuscript.
additive error
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