statsmodels.regression.recursive_ls.RecursiveLSResults.cusum_squares¶
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RecursiveLSResults.
cusum_squares
¶ Cumulative sum of squares of standardized recursive residuals statistics
- Returns
- cusum_squaresarray_like
An array of length nobs - k_exog holding the CUSUM of squares statistics.
Notes
The CUSUM of squares statistic takes the form:
\[s_t = \left ( \sum_{j=k+1}^t w_j^2 \right ) \Bigg / \left ( \sum_{j=k+1}^T w_j^2 \right )\]where \(w_j\) is the recursive residual at time \(j\).
Excludes the first k_exog datapoints.
References
- *
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.