From the definition ofh 1 (3), each element of the third factor of (13) ∂h 1 ∂θ 1 becomes There exists efficient dynamic programming to calculate the covariance value (17) (without goint into that detail because it is very similar to the one shown later in this paper), and of course we can run such dynamic programming for ∀ k ′ 1 ∈ K ′ 1 , e 1 ∈ E 1 .
the size of the Jacobian ∂h 1 ∂θ 1 is equal to Since it is too large in many tasks likely to arise in practice, we should avoid to calculate all the elements of this Jacobian in a straightforward way.