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The processes \\(\\{w_k \\mid k=1,2,\\dots\\}\\) and \\(\\{v_k \\mid k=1,2,\\dots\\}\\) are independent white Gaussian sequences with zero mean and covariance matrices \\(Q_k(\\theta)\\) and \\(R_k(\\theta)\\). The initial state \\(x_0\\) is \\(\\sim N\\big(\\tilde x_0,\\Pi_0(\\theta)\\big)\\) and each of the \\(w_k,\\;v_k\\) are mutually uncorrelated. Finally, \\(\\theta\\in\\mathbb R^p\\) is a vector of the unknown system parameters to be estimated.  This paper is devoted to the problem of an efficient evaluation of the log-likelihood function \\(J\\) and of its gradient \\(\\partial J/\\partial\\theta\\). For the considered system the log-likelihood gradient evaluation requires the implementation of the Kalman filter and its derivatives with respect to the unknown system parameters. It leads to a set of~\\(p\\) vector equations (system sensitive equations) and set of~\\(p\\) matrix equations (Riccati-type sensitivity equations).  The paper is organized as follows. After a brief description the likelihood and its gradient (with respect the to unknown parameters) are expressed in terms of the square-root variables. A bew method for the likelihood gradient is presented. The algorithms are derived in the measurement and time updates form in terms of covariance matrices. A comparison with the conventional approach, in terms of sensitivity to round-off errors, and some numerical results are finally given together with some general 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