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wex
View on CRAN: Click
here
Download and install wex package within the R console
Install from CRAN:
install.packages("wex")
Install from Github:
library("remotes")
install_github("cran/wex") Install by package version:
library("remotes")
install_version("wex", "0.1.0") Attach the package and use:
library("wex")
Maintained by
Tim Ginker
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First Published: 2025-05-09
Latest Update: 2025-05-09
Description:
Computes the exact observation weights for the Kalman filter and smoother, based on the method described in Koopman and Harvey (2003) <www.sciencedirect.com/science/article/pii/S0165188902000611>. The package supports in-depth exploration of state-space models, enabling researchers and practitioners to extract meaningful insights from time series data. This functionality is especially valuable in dynamic factor models, where the computed weights can be used to decompose the contributions of individual variables to the latent factors. See the README file for examples.
How to cite:
Tim Ginker (2025). wex: Compute the Exact Observation Weights for the Kalman Filter and Smoother. R package version 0.1.0, https://cran.r-project.org/web/packages/wex. Accessed 29 Jul. 2026.
Previous versions and publish date:
(2026-07-09 07:00), 0.1.0 (2025-05-09 11:50)
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