Extended Kalman filter, problem estimating process and observation error size

Yes that’s right. The docs aren’t very clear about this and needs updating to include lupmf/lupdf. The only reference I currently see is at 7.3 Increment log density | Stan Reference Manual.

@rok_cesnovar @WardBrian. The user guide never was updated either from this discourse thread _lupdf functions - where/how to doc them? - #22 by bbbales2

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