[R] Kalman Filtering?

[Thomas Lumley]

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