R - Esercitazioni, IX parte

Analisi dei dati

ar2<-arima.sim(list(order = c(2,0,0), ar =c(0.5,0.3)), n = 300) #genero 200osservazioni da un ar2

plot.ts(ar2)

par(mfrow=c(2,1))

acf(ar2,lag.max=50)

pacf(ar2, lag.max=50)

polyroot(c(1,-0.5,-0.3)) #stabilisce se le radici del polinomiocaratteristico #stanno dentro o fuori il cerchio di raggio unitario

Mod(polyroot(c(1,-0.5,-0.3))) #calcola il modulo delle radici del polinomio

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data(USAccDeaths)

inc<-USAccDeaths

plot(inc)

par(mfrow=c(2,1))

acf(acc)

pacf(acc)

dacc<-diff(inc)

par(mfrow=c(2,1))

acf(dacc)

pacf(dacc)

d12dacc=diff(dacc,lag=12)

plot(d12dacc)

par(mfrow=c(2,1))

acf(d12dacc)

pacf(d12dacc)

library(tseries)

fitar1=arima(d12dacc,order=c(1,0,0))

fitar1tsdiag(fitar1)

fittar1=arma(d12dacc, order=c(1,0))

summary(fittar1)

fitma1=arima(d12dacc, order=c(0,0,1))

fitma1tsdiag(fitma1)

fittma1=arma(d12dacc,

order=c(0,1))summary(fittma1)fitarma<-arima(d12dacc,order=c(1,0,1))fitarmatsdiag(fit12)fittarma=arma(d12dacc,order=c(1,1))summary(fittarma)----------------------------dd12<-diff(diff(inc),lag=12)plot(dd12)fitdd12<-arima(dd12,order=c(1,0,1))-------------------------------------------------------------------------gdp<-read.table("http://3w.eco.serverxy.it/giannirossi/ts/RGDP.txt")pil<-gdp[,3]pil<-ts(pil,start=1947,frequency=4) #frequency=numero osserv. x unita' ditempoplot(pil)par(mfrow=c(2,1))acf(pil, lag.max=100)pacf(pil,lag.max=100)ar(dati)library(tseries)fit<-arma(pil,order=c(1,0)) # stima un modello AR(1)summary(fit) # produce l'outputlpil<-log(pil)dpil<-diff(lpil)par(mfrow=c(3,1))