Ok, this bit is the annoying path limit. Let me see if I can fix it for you. This is actually fix with the current Stan codebase, but PyStan has not yet updated to the latests Stan (I hope we have a new version soon)
So first config your git tool
git config --system core.longpaths true
Then try again, it might still fail. If it fails, please clone pystan to suitable folder
git clone --recursive https://github.com/stan-dev/pystan
cd pystan
git checkout cvodes
Remove docs and tests for stan-math libraries
FOR /D /R "pystan/stan/lib/stan_math/lib" %D IN (doc) DO @IF EXIST "%D" RD /S /Q "%D"
FOR /D /R "pystan/stan/lib/stan_math/lib" %D IN (test) DO @IF EXIST "%D" RD /S /Q "%D"
Build a wheel (which can be installed as pip install wheelname.whl)
python setup.py bdist_wheel
or just do pip install
python -m pip install .