statsmodels.regression.recursive_ls.RecursiveLSResults.plot_cusum¶
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RecursiveLSResults.plot_cusum(alpha=0.05, legend_loc='upper left', fig=None, figsize=None)[source]¶ Plot the CUSUM 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
MatplotlibFigureinstance,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).
- alpha
Notes
Evidence of parameter instability may be found if the CUSUM statistic moves out of the significance bounds.
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.