Plot the CUSUM statistic and significance bounds.
Parameters: | alpha : float, optional
legend_loc : string, optional
fig : Matplotlib Figure instance, optional
figsize : tuple, optional
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Notes
Evidence of parameter instability may be found if the CUSUM statistic moves out of the significance bounds.
References
[R45] | 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. |