I'm currently playing around with state space models and the book I'm using has some very useful examples.
Problem:
These examples are written in Ox, which somewhat limits its usability, particularly as I want to test out some of my models using the Interactive Brokers API, for which it's more practical to use C# / C++.
More specifically it's using examples from SsfPack
which according to this article is "a library of routines for state space
modelling and inference written in C and linked to Ox".
Does this mean it can be directly implemented in C or is it a better approach to write the function in Ox and then call it in C as shown in A1.4 of this document? And if it can be directly implemented, how does one go about it?
Having some experience with C and no experience with Ox, the former of these two options would be much preferable.
Any thoughts welcome!