“…(i) k,S = 0, S ≥ k. Next, we derived expression(21) for Φ (ij) k,S . For S = k − 1, k, k + 1, expression (21) of Φ (ij) k,S , is clear from (3) taking into account that J x(ij) S−1,S = E O x(ij) S−1 µ (j)T S .In order to calculate Φ (ij) k,S for S ≥ k + 2, we use(7) for x To determine the first expectation in (A4), we use (2) for y (j)S and taking into account that by the OPL E x (ji)T S−a,S−2 , and, again, from (7) for x To compute the second expectation in (A4), first, from (6), we write the observation predictor as y using expression (7) of the local smoother, after some manipulation, we obtain E x…”