I want to find anomalies in a time series. Is it possible to find anomalies using moving average?
$\begingroup$ no, but with some running median it should be possible $\endgroup$– user603Nov 4, 2013 at 11:31
Anomalies can be easily detected while using "moving averages" . Please review the woRk or Tsay http://www.unc.edu/~jbhill/tsay.pdf . You might also search for "AUTOMATIC DETECTION OF INTERVENTION VARIABLES" using Google . Post your actual data and I will post the results.
$\begingroup$ Hi sir, thank you for your answer, I have a very long time series (about 10000 integere values). Im am not sure, if I can attach the file here. Which method do you find better to find anomalies? FFT, Wavlet transform or moving average- Is there any difference between anmolay and outlier in time series? $\endgroup$ Nov 4, 2013 at 12:42
$\begingroup$ Post the data to dropbox.com. Check out Ruey Tsay's paper on outliers www.unc.edu/~jbhill/tsay.pdf $\endgroup$ Nov 6, 2013 at 19:50