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I still couldn't derive it, but maybe I could prove it thanks to willSapgreen. Information matrix of distribution $p(x_t, Y^+, Y^0|Y^-=0)$ is $H_t'$; $$H_t'=S_{x_t,Y^+,Y^0}S^T_{x_t,Y^+,Y^0}H_tS^T_{x_t,Y^+,Y^0}S_{x_t,Y^+,Y^0}$$ This matrix can be written as $$H_t' = \left(\begin{array}{cc} H_{x_t,Y^+,x_t,Y^+}&H_{x_t,Y^+,Y^0}\\H_{Y^0,x_t,Y^+}&H_{Y^0,Y^...


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