Prediction of Malaysian–Indonesian Oil Production and Consumption Using Fuzzy Time Series Model

Abstract

Fuzzy time series has been implemented for data prediction in the various sectors, such as education, finance-economic, energy, traffic accident, others. Moreover, many proposed models have been presented to improve the forecasting accuracy. However, the interval-length adjustment and the out-sample forecast procedure are still issues in fuzzy time series forecasting, where both issues are yet clearly investigated in the previous studies. In this paper, a new adjustment of the interval-length and the partition number of the data set is proposed. Additionally, the determining of the out-sample forecast is also discussed. The yearly oil production (OP) and oil consumption (OC) of Malaysia and Indonesia from 1965 to 2012 are examined to evaluate the performance of fuzzy time series and the probabilistic time series models. The result indicates that the fuzzy time series model is better than the probabilistic models, such as regression time series, exponential smoothing in terms of the forecasting accuracy. This paper thus highlights the effect of the proposed interval length in reducing the forecasting error significantly, as well as the main differences between the fuzzy and probabilistic time series models.