47-70 39 7 ARMAX (ANN) 39 9 : 39 :. (ANN) ARMAX.... ARMAX ARMA :..Q47 E7 C53 C45 :JEL navid_moarrefzadeh@yahoo.com
7 48....... (ANN). ARMAX..... 90. (994)... Kuan & White Yousefi (994)
49... (993) (995). 4 3 (990). (994) 5 (999). 6 (999). 8. 990 985 7 9» (007) 0 «. 005-006... 4 3 030 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
7 50 05 (PSO). ols ols (387). 40 (388). ARIMA var (39). (ANN). (383). 5..3 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... 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 (( ).3-... 5.. Autoregressive Moving Average. Pure Autoregressive 3. Pure Moving Average 4. Enders 5. Ramon Segal
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
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
7 54 ((38) )..4. ) ((388) ). ((359-389) :. : ((0) )..4-378 359 379.. 389 389 379 ARMAX ANN... MAPE (Min Absolute Percent error)
55... = n Eper i Eact Eact i i (6). ARMAX.4- -. (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 0/006 359-389 :... Y a gdp + a pop + a nx + = 3 u t (7)
7 56 pop gdp Y. u t NX. 7 prob 0. t -/3 -/6 0 3/33 /65 0/008 =0/58 3/3 0/50 359-389 :. 0/58 ARMA (p) ARMAX (q). 3.3 :. 359-389
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)...
7 58 ARMAX. :.4-3. 0 Matlab. : xi normal = xi x max x x min min (8). X max X min X i.. Mlp
59....4-3-. 359-378. 3.. 379-389 379-389.3. Epoch
7 60.4-3-. 4 359-378.4 4 4. 4. 379-389 379-389.5. Epoch
6.... %5/34 %/8. ARMAX ANN. 6.6 ) Ann Ann ARMAX ( ARMAX 379 380 38 38 383 384 385 386 387 388 68/7 685/ 77/ 768/ 83/ 90/9 997/4 088/6 3/9 67 684/53 75/3987 783/65 793/74 844/ 99/557 007/46 058/066 096/699 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 7/695957 3/336037 /444509 /99005 /00883 /80489 /544 /69 4/09 6/98 7/7353 9/33497 6/3704 3/87383 9/06687 4/6985 /787 0/73953
7 6 389 49/ 0/864 6/99 4/669683 5/83874 =/8 =0/83 %/8 ANN 6. ARMAX ARMAX. ARMAX. 7.7 Dimension BDS Statistic 0/6 z 5/46 Prob 0 3 0/5 4/65 0 4 0/30 4/0 0 5 0/30 3/40 0 6 0/7 /47 0 %5 Prob 7.... Bds Test
63....5 6..5- (R ) 359-389. 0/984. Y = 449/ 86x R = 0/ 984 650/ 8x + 9385 (9) Y = / 34x R = 0/ 794 + 57 / x + 39 (0) 0/794.
7 64 Y = / 34x R = 0/ 794 + 57 / x + 39 (). Y = 38 / 03x R = 0/ 86 3 + 7079x 673x + 46686 ().5-. : = X X X new old old 00 (3) : FV = PV ( + R) =FV =PV =R 3. 8 n
65....8 %/5 %5/4 %5/48 %7/ -389 :. 359. 395. ) (.6 359-389 :.
7 66 6 389.... 4 ((980-00) ). 6 d R = 3 N N (4). N d R :. OPEC
67... 4.9 R= R=0/99 R=0/9 R=0/8 R=0/97 :. 359-389 t R. t = r n r (5) t 5 t.0 - /05-47/64-4/9 - /96.6.. /97 ((PSO) 3/ /40
7 68 (GA) /83 /07 /63 /8.7. (ANN). ARMAX.. ARMAX GDP.
69... - 40» (387) «..» (388). 0 «AHP (384). 69 (38). VAR ARIMA» (39) «:(ANN).4. (384) 359-89 - 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.
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), 980-00. 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, 3984 3990 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) 937 944 Yousefi, Mohammadgholi (994), Industrialization and Trade Policies of OPEC Countries, Deep and Deep Publishers, New Delhi.