The Stochastic Crb For Array Processing A Textbook Derivation Apr 2026

where ( \boldsymbol\eta ) is the real parameter vector.

[ [\mathbfF(\boldsymbol\eta)]_ij = N \cdot \textTr\left( \mathbfR^-1 \frac\partial \mathbfR\partial \eta_i \mathbfR^-1 \frac\partial \mathbfR\partial \eta_j \right) ] where ( \boldsymbol\eta ) is the real parameter vector

Let ( \mathbfB = \mathbfA \mathbfP^1/2 ). Then ( \mathbfR = \mathbfB \mathbfB^H + \sigma^2 \mathbfI ). The projection matrix onto the column space of ( \mathbfB ): [ \mathbfP_B = \mathbfB(\mathbfB^H \mathbfB)^-1 \mathbfB^H ] but ( \mathbfB^H \mathbfB = \mathbfP^1/2 \mathbfA^H \mathbfA \mathbfP^1/2 ). The projection matrix onto the column space of

This is the Schur complement of the nuisance parameter block. Let ( \mathbf\Pi_A^\perp = \mathbfI - \mathbfA(\mathbfA^H\mathbfA)^-1\mathbfA^H ) (projector onto noise subspace). 4.1 Derivative w.r.t. ( \theta_k ) [ \frac\partial \mathbfR\partial \theta_k = \mathbfA_k' \mathbfP \mathbfA^H + \mathbfA \mathbfP (\mathbfA_k')^H ] where ( \mathbfA_k' = \frac\partial \mathbfA\partial \theta_k = [\mathbf0, \dots, \mathbfa'(\theta_k), \dots, \mathbf0] ) (derivative of the ( k )-th column). 4.2 Derivative w.r.t. ( p_k ) [ \frac\partial \mathbfR\partial p_k = \mathbfa(\theta_k) \mathbfa^H(\theta_k) ] (because ( \mathbfP ) is diagonal). 4.3 Derivative w.r.t. ( \sigma^2 ) [ \frac\partial \mathbfR\partial \sigma^2 = \mathbfI ] 5. Simplifying the FIM Blocks We use: ( \mathbfR^-1 = \sigma^-2 \mathbf\Pi_A^\perp ) only if ( \mathbfA ) is full rank and ( \mathbfP ) nonsingular? Actually, via Woodbury: [ \mathbfR^-1 = \sigma^-2 \left( \mathbfI - \mathbfA (\mathbfA^H \mathbfA + \sigma^2 \mathbfP^-1)^-1 \mathbfA^H \right) ] But for CRB derivations, a cleaner way: define ( \mathbfR^-1/2 \mathbfA = \mathbfU \Sigma \mathbfV^H ) etc. However, the standard result uses: the standard result uses: