Evaluation of an approximate cross-covariance calculation for track-to-track fusion

The effect of the crosscovariance in track-to-track fusion has been studied in [2] [3] [4] [5]. Ignoring the crosscovariance of the local track estimation errors leads to optimistic covariance for the fused state estimates. However, evaluation of this crosscovariance is too demanding. Consequently, we approximate the crosscovariances between two sensors' track estimation errors in a manner similar to one of the procedures presented in [2], namely, with constant crosscorrelation coefficients. The results of using this in a practical naval surveillance system are discussed by comparing the exact covariances of the fused tracks, the covariances obtained with the approximation and the covariances obtained by completely ignoring the crosscorrelations.