[R] C code for KalmnaLike

Paul Gilbert pgilbert at bank-banque-canada.ca
Wed Sep 10 16:34:57 CEST 2003

orasi at stat.unibo.it wrote:

>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


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