(from Slepian–Bangs formula): The log-likelihood (ignoring constants) is: [ L = -N \log \det \mathbfR - \sum_t=1^N \mathbfx^H(t) \mathbfR^-1 \mathbfx(t) ] Taking derivatives and expectations yields the above trace formula. 3. Partitioning the Unknown Parameters Let: [ \boldsymbol\eta = [\boldsymbol\theta^T, \ \mathbfp^T, \ \sigma^2]^T ] We want the CRB for ( \boldsymbol\theta ), i.e., the top-left ( d \times d ) block of ( \mathbfF^-1 ).
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: This is the Schur complement of the nuisance parameter block
The CRB for ( \boldsymbol\theta ) (with nuisance parameters ( \mathbfp, \sigma^2 )) is: [ \textCRB(\boldsymbol\theta) = \left( \mathbfF \theta\theta - [\mathbfF \theta p \ \mathbfF \theta \sigma^2] \beginbmatrix \mathbfF pp & \mathbfF p\sigma^2 \ \mathbfF \sigma^2 p & \mathbfF \sigma^2\sigma^2 \endbmatrix^-1 \beginbmatrix \mathbfF p\theta \ \mathbfF_\sigma^2\theta \endbmatrix \right)^-1 ] ( \theta_k ) [ \frac\partial \mathbfR\partial \theta_k =
where ( \boldsymbol\eta ) is the real parameter vector. This is the Schur complement of the nuisance parameter block
[ [\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) ]