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In this paper, the authors present a data analysis and estimation procedure of electrical power consumption under uncertain conditions. Traditional methods are based on statistical and probabilistic approaches but it may not be quite suitable to apply purely mathematical models to the data generated by human activities such as the power consumption. The authors introduce a new approach based on possibility theory and fuzzy auto-regression, and apply it to the analysis of time-series data of electric power consumption. The proposed fuzzy auto-regression model can be constructed in simpler procedure than the conventional approaches.