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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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