RecursiveLSResults.cusum_squares()
statsmodels.regression.recursive_ls.RecursiveLSResults.cusum_squares
-
RecursiveLSResults.cusum_squares()
[source] -
Cumulative sum of squares of standardized recursive residuals statistics
Returns: cusum_squares : array_like
An array of length
nobs - k_exog
holding the CUSUM of squares statistics.Notes
The CUSUM of squares statistic takes the form:
where is the recursive residual at time .
Excludes the first
k_exog
datapoints.References
[R44] 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.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.regression.recursive_ls.RecursiveLSResults.cusum_squares.html