Transforming parameters in a simple time-series model; debugging the Jacobian

So. This one is pretty simple. But the general idea could be useful to some of you. So here goes. We were fitting a model with an autocorrelation parameter, rho, which was constrained to be between 0 and 1. The model looks like this: etat ~ normal(rho*eta{t-1}, sigma_res), for t = 2, 3, … T …