Quarterly of Applied Mathematics

Quarterly of Applied Mathematics

Online ISSN 1552-4485; Print ISSN 0033-569X



Optimum vs. correlation methods in tracking random signals in background noise

Author: R. C. Davis
Journal: Quart. Appl. Math. 15 (1957), 123-138
MSC: Primary 62.00; Secondary 60.00
DOI: https://doi.org/10.1090/qam/100947
MathSciNet review: 100947
Full-text PDF

Abstract | References | Similar Articles | Additional Information

Abstract: A method of target tracking used exclusively in some applications is that of space diversity reception. We consider a two-dimensional problem with two receivers, although in principle the techniques developed are applicable to a three-dimensional problem utilizing three or more receivers. With $ N$ receivers the computational difficulties increase as $ N^2$. The tracking problem considered here is formulated as follows. During a time interval $ 0 \le t \le T$ one observes random processes $ x_1(t) = s(t) + n_1(t)$ and $ x_2(t) = s(t + \tau_0) + n_2 (t)$, and one desires to estimate the unknown value of $ \tau_0 \cdot s(t), n_1(t)$, and $ n_2(t)$ are continuous, Gaussian, stationary processes with continuous, monotonoid covariance functions and with $ \mathit{Es}(t) n_1(t') = \mathit{Es}(t) n_2(t') = 0$. $ n_1(t)$ and $ n_2(t)$ are stationarily cross-correlated with a cross-correlation function that is in general an asymmetric function of time delay. As a criterion for an optimum estimate, $ \tau_0'$, of $ \tau_0$, we use the one--commonly used in statistical literature, that $ \tau_0'$ should have minimum variance about the true value $ \tau_0$; that is, $ E(\tau_0' - \tau_0)^2$ be a minimum. It is shown that for small values of $ \omega_u \tau _0$ (where $ \omega_u$ is the highest frequency in the tracking pass band) the normalized error variance $ E\left[ (\tau_0' - \tau_0)/\tau_0 \right]^2$ is identical to the reciprocal of the output signal-to-noise ratio--the criterion of common use in engineering literature on correlation methods. Using the Cramér-Rao inequality, an explicit expression for the minimum variance attainable by any estimate whatsoever is established. Moreover we arrive at the interesting conclusion that even with the use of optimum pre-detection filtering in a correlation system, the variance of the correlator estimate of $ {\tau _0}$ is always greater than the minimum variance given by the Cramér-Rao inequality. Gains in output signal-to-noise ratio obtained by an optimum system over a correlator vary in accordance with the statistical properties of signal and noise backgrounds. In general the gains are greater with asymmetrical cross-correlation between $ n_1(t)$ and $ n_2(t)$ than otherwise. From a practical viewpoint gains obtainable over correlation methods become important for large values of the time-bandwidth product. This is due to the fact that under this condition the maximum likelihood estimate of $ \tau_0$ has an error variance that is approximately equal to the minimum variance obtainable by any estimate. For small values of the time-bandwidth product no theory exists about the variance of the maximum likelihood estimate, since no efficient estimate of $ \tau_0$ exists. For this case, a worthwhile experimental study would be to compare the variance of the maximum likelihood estimate with the minimum variance calculated from the Cramér-Rao inequality.

References [Enhancements On Off] (What's this?)

Similar Articles

Retrieve articles in Quarterly of Applied Mathematics with MSC: 62.00, 60.00

Retrieve articles in all journals with MSC: 62.00, 60.00

Additional Information

DOI: https://doi.org/10.1090/qam/100947
Article copyright: © Copyright 1957 American Mathematical Society

American Mathematical Society