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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.1 |
2026-04-09 windows/windows R-4.5 | wex_0.1.1.zip |
72.7 KiB |