wex: Exact Observation Weights for the Kalman Filter and Smoother
Computes exact observation weights for the Kalman filter and smoother, following Koopman and Harvey (2003) <www.sciencedirect.com/science/article/pii/S0165188902000611>. The package provides tools for analyzing linear Gaussian state-space models, allowing users to quantify the contribution of individual observations to filtered and smoothed state estimates. These weights can be used for interpretation, decomposition, and diagnostic analysis in time series models, including applications such as dynamic factor models. See the README for examples.
| Version: | 0.1.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | FKF, KFAS |
| Published: | 2026-04-04 |
| DOI: | 10.32614/CRAN.package.wex |
| Author: | Tim Ginker  [aut,
cre, cph] |
| Maintainer: | Tim Ginker <timginker at gmail.com> |
| BugReports: | https://github.com/timginker/wex/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/timginker/wex |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| In views: | TimeSeries |
| CRAN checks: | wex results |
Documentation:
| Reference manual: | wex.html , wex.pdf |
Downloads:
| Package source: | wex_0.1.1.tar.gz |
| Windows binaries: | r-devel: wex_0.1.0.zip, r-release: wex_0.1.0.zip, r-oldrel: wex_0.1.0.zip |
| macOS binaries: | r-release (arm64): wex_0.1.0.tgz, r-oldrel (arm64): wex_0.1.0.tgz, r-release (x86_64): wex_0.1.0.tgz, r-oldrel (x86_64): wex_0.1.0.tgz |
| Old sources: | wex archive |
Reverse dependencies:
| Reverse imports: | cforecast |
Linking:
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