[R] Kalman Filtering?

[Spencer Graves]

Hi, Gabor:  Great.  Thanks.  spencer graves

Gabor Grothendieck wrote:
> A simple workaround would be to call KalmanLike this way:
> 
>   KalmanLike(y, mod[], nit)
> 
> as [] makes a copy.
> 
> On 6/15/05, Spencer Graves <spencer.graves at pdf.com> wrote:
> 
>>Hi, Thomas:
>>
>>         Thanks much.  I modified the R code for "KalmanLike" as you
>>suggested, and the problem went away.
>>
>>         Next question:  Should KalmanLike work the way it does without your
>>suggested modification?  If not, how do we get your proposal transmitted
>>to the appropriate person so it is appropriately considered for adoption
>>in a future release of R?
>>
>>         Best Wishes,
>>         Spencer Graves
>>
>>Thomas Lumley wrote:
>>
>>
>>>On Wed, 15 Jun 2005, Spencer Graves wrote:
>>>
>>>
>>>
>>>>       1.  The function "KalmanLike" seems to change its inputs AND
>>>>PREVIOUSLY MADE copies of the inputs.
>>>
>>>
>>>The strange thing is that it changes its inputs. It would be expected that
>>>this also changed previously made copies. The copies will just be
>>>references to the same actual object in memory (which is why changing the
>>>inputs is undesirable).
>>>
>>>Looking at the C code, it does change the a, P, and Pnew components of the
>>>model.  I'm a little reluctant to mess with this code, but an R-level
>>>work-around should be to replace mod$P with mod$P+0 and so on in the
>>>call to .Call, as this will force copying.
>>>
>>>      -thomas
>>>
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>>
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> 
>>