statsmodels.regression.recursive_ls.RecursiveLSResults.cusum_squares#

RecursiveLSResults.cusum_squares[source]#

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.
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.
Based on the work of:
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.