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I had a fix for this (along with some other additions) in my forked repo which I thought I made a PR for but looks like I didn't do it. Once I get my head around the new StateSpace implementations I'll transfer them across - probably next week.
Just stumbled across this old comment (in all caps, no less!)
https://github.com/ElOceanografo/StateSpace.jl/blob/master/src/filter_types.jl#L207
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