Package: wex 0.1.1

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.

Authors:Tim Ginker [aut, cre, cph]

wex_0.1.1.tar.gz
wex_0.1.1.zip(r-4.7-any)wex_0.1.1.zip(r-4.6-any)wex_0.1.1.zip(r-4.5-any)
wex_0.1.1.tgz(r-4.6-any)wex_0.1.1.tgz(r-4.5-any)
wex_0.1.1.tar.gz(r-4.7-any)wex_0.1.1.tar.gz(r-4.6-any)
wex_0.1.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
wex/json (API)

# Install 'wex' in R:
install.packages('wex', repos = c('https://timginker.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/timginker/wex/issues

Datasets:
  • indicators - Sample Data with 10 Economic Indicators

On CRAN:

Conda:

kalman-filterkalman-filteringtime-series-analysis

4.13 score 3 stars 1 packages 1 scripts 380 downloads 1 exports 2 dependencies

Last updated from:ce2a2773b5. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK120
source / vignettesOK119
linux-releaseOK116
macos-releaseOK135
macos-oldrelOK139
windows-develOK61
windows-releaseOK40
windows-oldrelOK59
wasm-releaseOK127

Exports:wex

Dependencies:FKFKFAS