statsmodels.regression.recursive_ls.RecursiveLSResults.plot_cusum_squares¶

RecursiveLSResults.plot_cusum_squares(alpha=0.05, legend_loc='upper left', fig=None, figsize=None)[source]¶

Plot the CUSUM of squares statistic and significance bounds.

Parameters:¶

alpha : float, optional¶

The plotted significance bounds are alpha %.

legend_loc : str, optional¶

The location of the legend in the plot. Default is upper left.

fig : Figure, optional¶

If given, subplots are created in this figure instead of in a new figure. Note that the grid will be created in the provided figure using fig.add_subplot().

figsize : tuple, optional¶

If a figure is created, this argument allows specifying a size. The tuple is (width, height).

Notes

Evidence of parameter instability may be found if the CUSUM of squares statistic moves out of the significance bounds.

Critical values used in creating the significance bounds are computed using the approximate formula of [1].

References