[R] Kalman Filtering?

[Gabor Grothendieck]

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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