AbstractWe construct a family of non-parametric (infinite-dimensional) manifolds of finite measures on $${\mathbb {R}}^d$$Rd, each containing a smoothly embedded submanifold of probability measures. The manifolds are modelled on a variety of weighted Sobolev spaces, including Hilbert–Sobolev spaces and mixed-norm spaces, and support the Fisher–Rao metric as a weak Riemannian metric. Densities are expressed in terms of a deformed exponential function having linear growth. Unusually for the Sobolev context, and as a consequence of its linear growth, this “lifts” to a nonlinear superposition (Nemytskii) operator that acts continuously on a particular class of mixed-norm model spaces, and on the fixed norm space $$W^{2,1}$$W2,1; i.e. it maps each of these spaces continuously into itself. In contrast with non-parametric exponential manifolds, the density itself belongs to the model space, and the range of the chart is the whole of this space. Some of the results make essential use of a log-Sobolev embedding theorem, which also sharpens existing results concerning the regularity of statistical divergences on the manifolds. Applications to the stochastic partial differential equations of nonlinear filtering (and hence to the Fokker–Planck equation) are outlined.