ARMAX (ANN) : :. (ANN) ARMAX.... ARMAX ARMA :..Q47 E27 C53 C45 :JEL

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1 ARMAX (ANN) 39 9 : 39 :. (ANN) ARMAX.... ARMAX ARMA :..Q47 E7 C53 C45 :JEL navid_moarrefzadeh@yahoo.com

2 (ANN). ARMAX (994)... Kuan & White Yousefi (994)

3 49... (993) (995). 4 3 (990). (994) 5 (999). 6 (999) » (007) 0 « GSA (0).. Chatfield. Tal & Nazareth 3. Andersson&Falksund 4. Bramson&Hoptroff 5. Aiken 6. Aiken &Bsat 7. Tutu and Johnson 8. Opec domestic oil demand 9. Tuksary 0. Ant colony optimization approach to estimate energy. Pedregal and dejuan. Modelling demand for crude oil products in Spain 3. Behrang 4. Gravitational Search Algorithm

4 (PSO). ols ols (387). 40 (388). ARIMA var (39). (ANN). (383) ARMA.3- ) : P. ( = + p y = i t i + t α α y 0 χ i t () x t q i = = β Σ 0 i t i { x t } :.. Alper. PSO

5 5... y t q p = α 0 + α i i y = t i + i = 0 B i Σ t i (). β 0 {y t } (). (ARMA). {X t } () ARMA q X t p ARMA q = 0. ARMA(p,q) p = 0 AR(P) ( ) 3 ). MA(q) ( ) 4 (( ) Autoregressive Moving Average. Pure Autoregressive 3. Pure Moving Average 4. Enders 5. Ramon Segal

6 7 5.. :. -.. n X X X 0 y. n. a : t Net t = α χ 0 0t + α χ t + α χ t = i = 0 α χ i it (3) (). f(x) (3) f (X) = X. : t yt = f ( Net t = a0 x0t + axt + axt ) = a0x0t + axt + axt (4). Feedforward Neural Network. Transfer or Activation Function

7 53... : X 0 y t = a 0 + a x t + a x t (5)... 3 ((00) - ) ((384) ). AR. (ANN). ARMAX.... bias. Multiple Linear Regression Model 3. Al-Saba

8 7 54 ((38) )..4. ) ((388) ). (( ) :. : ((0) ) ARMAX ANN... MAPE (Min Absolute Percent error)

9 55... = n Eper i Eact Eact i i (6). ARMAX (ADF) -. t % %5 %0 Prob -5/58-4/7059-3/889-4/4683-4/339-4/967-4/3393-3/6998-3/5806-3/5683-3/5875 -/976-3/53-3/83-3/9 -/674 0/00 0/0038 0/06 0/ :... Y a gdp + a pop + a nx + = 3 u t (7)

10 7 56 pop gdp Y. u t NX. 7 prob 0. t -/3 -/6 0 3/33 /65 0/008 =0/58 3/3 0/ :. 0/58 ARMA (p) ARMAX (q). 3.3 :

11 57... ARMAX PAC AC 3. 4 ARMAX(,) Eviews ARMAX.4 prob t 0/53 0/004 0/98 0 0/8089-0/6 3/7-0/00 3/63 0/4-0/5 0/67-0/00 0/93 0/06 AR() MA() : (MA()) 4. 5 ARMAX.5 prob t 0/0055 0/000 0/00 0 3/06 4/33 3/7-5/38 /48 0/69 0/64-8/70 AR() : 5 ARMAX(,0) ARMAX(,0) ARMAX(,0)...

12 7 58 ARMAX. : Matlab. : xi normal = xi x max x x min min (8). X max X min X i.. Mlp

13 Epoch

14 Epoch

15 6.... %5/34 %/8. ARMAX ANN. 6.6 ) Ann Ann ARMAX ( ARMAX /7 685/ 77/ 768/ 83/ 90/9 997/4 088/6 3/ /53 75/ /65 793/74 844/ 99/ /46 058/ /699 40/59 778/35 796/8 856/7 96/6 968/43 08/6 087/83 33/48 33/80 58/37 0/83 5/8667 7/ / / /99005 /00883 /80489 /544 /69 4/09 6/98 7/7353 9/ /3704 3/ / /6985 /787 0/73953

16 / 0/864 6/99 4/ /83874 =/8 =0/83 %/8 ANN 6. ARMAX ARMAX. ARMAX. 7.7 Dimension BDS Statistic 0/6 z 5/46 Prob 0 3 0/5 4/ /30 4/ /30 3/ /7 /47 0 %5 Prob Bds Test

17 (R ) /984. Y = 449/ 86x R = 0/ / 8x (9) Y = / 34x R = 0/ / x + 39 (0) 0/794.

18 7 64 Y = / 34x R = 0/ / x + 39 (). Y = 38 / 03x R = 0/ x 673x ().5-. : = X X X new old old 00 (3) : FV = PV ( + R) =FV =PV =R 3. 8 n

19 %/5 %5/4 %5/48 %7/ -389 : ) ( :.

20 ((980-00) ). 6 d R = 3 N N (4). N d R :. OPEC

21 R= R=0/99 R=0/9 R=0/8 R=0/97 : t R. t = r n r (5) t 5 t.0 - /05-47/64-4/9 - / /97 ((PSO) 3/ /40

22 7 68 (GA) /83 /07 /63 /8.7. (ANN). ARMAX.. ARMAX GDP.

23 » (387) «..» (388). 0 «AHP (384). 69 (38). VAR ARIMA» (39) «:(ANN).4. (384) Bentzen, J. and T. Engsted (993), Short- and Long-run Elasticities in Energy Demand,a Cointegration Approach, Energy Economics. PP.(9-6). Chao-Hsien Chu & Djohan Widjaja (994), Neural Network System for Forecasting, Method Selection, Decision Support Systems vol.. Pedregal, D. J., Dejua n, O., Go mez, N. & M. A. Tobarra (009), Modelling Demand for Crude Oil Products in Spain, Energy Policy, vol. 37. Enders, W. (004), Applied Econometric Time Series, (nd ed.) Danvers: Wiley.

24 7 70 Behrang, M. A., Assareh, E., Ghalambaz M., Assari, M. R. & A. R. Noghrehabadi (0), Forecasting future oil demand in iran using GSA, Energy, vol. 36. Organization of the Petroleum Exporting Countries(opec), Tawfiq Al-Saba & Ibrahim El-Amin (00), Artificial Neural Networks as Aplied to Long-term Demand Forecasting Artificial Intelligence in Engineering Vol.3. Toksar Ant Colony Optimization Approach to Estimate Energy Demand of Turkey, Energy Policy, 35, Totto, L. and T. M. Johnson (98), OPEC domestic oil demand: Future scenarios of product consumption, Program report, OPEC Downstream U nler, Improvement of energy demand forecasts using swarm intelligence:the case of Turkey with projections to 05, Energy Policy 36 (008) Yousefi, Mohammadgholi (994), Industrialization and Trade Policies of OPEC Countries, Deep and Deep Publishers, New Delhi.

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