I have a HMC for which the transition and observation matrices are time varying (and have some 0 elements).
I would like to calculate the log-likelihood (for Bayesian inference). Which library should I use? I looked at a few of them, but they seemed to have a high-level interface for constant matrices, and I need the low-level building blocks for updating, because of the time variation.
I need a numerically stable implementation, I can always program the algorithm from Rabiner’s tutorial, but would prefer not to do it if it has been done. Playing well with
AutoDiff.jl would be a bonus (for NUTS/Hamiltonian MC).