Watch the Caravan online guitar lesson by Mimi Fox from Jazz Performance
This scale can be used anywhere you might think to use the harmonic minor scale. For example, over a minor II V I. In the case of Caravan the progression I use it over is bVI V I, or Db7 C7 Fminor. The bVI is a substitute for the II chord and so it works out beautifully. The formula for this scale is: 1, 2, b3, #4, 5, b6, 7, 8 (F, G, Ab, B, C, Db, E, F in the key of FMinor). You can see by the two minor 3rd intervals (Ab to B and Db to E) why it is also called the "double" harmonic minor scale.