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McMillan degree by a sequential rank test on the autocovariance Hankel

Source: R/low_level.R
hankel_rank_order.Rd

Robin & Smith's (2000) characteristic-root statistic with the weighted chi-squared null evaluated by Imhof's exact inversion; tests ranks r = 0, 1, ... and stops at the first non-rejection, at a level that vanishes with the sample size (consistent by Hosoya's condition).

Usage

hankel_rank_order(x, alpha = NULL, k = NULL)

Arguments

x

A numeric vector (a stationary series).

alpha

Fixed test level, or NULL (default) for the vanishing level 0.05 log(50) / log(n).

k

Hankel dimension; NULL uses max(3, ceiling(log n)).

Value

A list with order, the pvalues of the stages run, alpha and k.