Re: [R] C code for KalmnaLike

[Paul Gilbert]

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:

[EMAIL PROTECTED] 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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