`gaussian_dlm_obs` summary does not state if sequential processing is used

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1/5
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Issue type
Documentation
Clarity
Clearly specified
Activity status
Stale
Tech stack
tex
Domain
documentation

Research direction

Open the gaussian dynamic linear models section at the linked Functions Reference page and compare its first paragraph with stan/math/prim/prob/gaussian_dlm_obs_lpdf.hpp around line 40. Update the summary so it explicitly distinguishes vector V, which uses sequential processing, from diagonal-matrix processing; the documentation is done when that behavior is unambiguous.

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Description

When V is a vector sequential processing is used. This should be explicit in the first paragraph. Right now it just says that a more effecient processing can be used when V is a diagonal matrix. So the user does not know if Stan ever does this sequential processing or only if a diagonal matrix is supplied. In fact, it is used only when V is a vector see https://github.com/stan-dev/math/blob/c0de977b5a3c701b1e71c4f7a15d806b0159d4c6/stan/math/prim/prob/gaussian_dlm_obs_lpdf.hpp#L40

Doc is at https://mc-stan.org/docs/2_26/functions-reference/gaussian-dynamic-linear-models.html#ref-DurbinKoopman:2001

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