I'm working with multiple time-series. Each time series is a record of a value (let's say a price) per month.
In each time-series, I have a reference period (let's say, 9 months, making it 9 records), that I use to characterize the past behaviour of each sample analysed.
My goal is to check if my few next months (for example, 3 months following the reference period) have a same or different behaviour from my reference. Let's call this 3-month period my analysed period.
This includes the following points :
- If my price doesn't varry much in my 'reference', it's expected not to varry much in 'analysed'. A higly-varrying price in those 3 months would be an anomaly.
- If in my price varries a lot in my 'reference', a huge price-variation in my 'analysed' is the expected behaviour, and the anomaly would be if this price doesn't varry much.
Is there any known method to decide wether price behaviour in 'analysed' is the same as 'reference' one or not ? I only found methods to detect big variations, but nothing creating a relation with the past behaviour.
Thanks in advance