# z score vs z score of z scores

Suppose you have n time series, and you want to study the difference between the value of any pair of these time series. There seems to be two ways to go about this:

1. One way is to simply calculate the difference between the value of each pair of the times series, and look at the z score of the that difference.

2. The other way is, for each time series, calculate the z score that compares its current value with its historical value. Then for each pair of the time series, calculate the difference between their z scores and look at the z score of that difference.

Will the two method produce significantly different results?

• Have you tried to check it yourself? Jul 13, 2015 at 21:17
• I am doing it empirically right now. Trying to do it theoretically seems a bit too complicated. Jul 13, 2015 at 21:53

Another option would be to perform a one-way ANOVA of all $n$ data sets, assuming equal variance. If the ANOVA identifies a significant difference in one or more groups, a Tukey multiple comparison procedure or pairwise t test can be conducted to identify the time series of interest.