Hello nimble users and developers,
Thanks very much for all your hard work building and maintaining nimble. I'm working with a model involving a multivariate Ornstein-Uhlenbeck process, and I'd like to write a nimbleFunction to do the log likelihood calculation based on a Kalman Filter. To that end, I need to compute matrix exponentials.
Any advice for matrix exponentials with nimble? My plan is to use nimbleRcall to allow me to use the expm R package, but I thought I'd ask first to see if there's a better way.
Thanks,
Henry