A recent letter presents a simple method for the computation of the approximate Hessian Σ{∂ε_k(θ)/∂θ}{∂ε_k(θ)/∂θ}^T of a cost function of the form ½Σε_k²(θ), where θ is an m-dimensional vector of parameters. In this letter, it is pointed out that the method is applicable to more general cost functions of the form ΣL_k(θ), e.g. the quadratic form ½Σv_k^T(θ) Q^-1v_k(θ), where v_k is an l-dimensional vector. Estimation of the initial state is readily included within the same framework.