Cumulative sum of squares of standardized recursive residuals statistics
Returns: | cusum_squares : array_like
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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
[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. |