RecursiveLSResults.cusum_squares()
[source]
Cumulative sum of squares of standardized recursive residuals statistics
Returns: |
cusum_squares – An array of length nobs - k_exog holding the CUSUM of squares statistics. |
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Return type: | array_like |
The CUSUM of squares statistic takes the form:
where \(w_j\) is the recursive residual at time \(j\).
Excludes the first k_exog
datapoints.
[*] | Brown, R. L., J. Durbin, and J. M. Evans. 1975. “Techniques for Testing the Constancy of Regression Relationships over Time.” Journal of the Royal Statistical Society. Series B (Methodological) 37 (2): 149-92. |
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© 2006 Jonathan E. Taylor
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http://www.statsmodels.org/stable/generated/statsmodels.regression.recursive_ls.RecursiveLSResults.cusum_squares.html