[R] C code for KalmnaLike
Paul Gilbert
pgilbert at bank-banque-canada.ca
Wed Sep 10 17:52:58 CEST 2003
My apologies. I now realize this question was more specifically about
the KalmanLike and KalmanSmooth functions distributed in package ts with
base, and not generally about code for calculating the Kalman smoother
or likelihood from the Kalman filter. Of course, the sources for these
functions are available and appear to be written in C.
Paul Gilbert
Paul Gilbert wrote:
> orasi at stat.unibo.it wrote:
>
>> Hi
>> it is possible to see the C code for the KalmanLike and Kalmansmooth
>> functions with R?
>>
> It is possible to see all the code distributed with R and the R
> packages on CRAN. (This is why it is sometimes called an open source
> project.) Kalman smoothing and Kalman filtering, on which the
> likelihood calculation is usually based, are not part of base R, but
> are in packages. I am not sure about other packages, but the versions
> in the dse package are not written in C. There is a fortran version
> and an equivalent R version. There is a C version which is translated
> with f2c, but that is not the place to look if you are trying to
> understand the algorithm. The easiest code to read is the R version,
> but the fortran it the one that is used (by default) for reason of speed.
>
>> Otherwise, without using R, how can I get the code?
>>
> You can download the source from CRAN and examine it without using R.
> However, if you actually want to use the code, then I strongly suggest
> you use R too. The R code makes a call to fortran in order to speed
> the iterative part of the calculation, but the likelihood calculation
> from the residuals, all the error checking, plotting, and "nice to
> use" features are in the R code. If you want to use dse, then start by
> reading the dse user's guide distributed with the package bundle (in
> dse1/inst/doc/dse-guide.pdf) and getting familiar with R. (When I
> have been asked questions like your's before, the next question has
> usually be something like: please give me a tutorial on the internal
> details of your code, because I want to pull it apart and use it
> somewhere else. I am not very interested in the effort required for
> me to do that.)
>
> Paul Gilbert
>
>> Thank arianna
>>
>
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