McMillan degree by Hankel singular-value thresholding

Cuts the singular values of the autocovariance Hankel at a calibrated threshold carrying the scale of the estimation error (after Zheng, Jedra & Proutiere 2025). Recovery requires separation: the smallest non-zero singular value of the true Hankel must exceed the cut.

Usage

hankel_svt_order(x, c = 1, k = NULL)

Arguments

x

A numeric vector (a stationary series).

c

Threshold constant (default 1).

k

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

Value

A list with order, the singular_values, the threshold xi and k.