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How to detect outliers in trending time series dataset?

danielfang

New Member
Boxplot can be used to identify outliers, but if the baseline is shifting upwards, the result is biased. Thus, I am wondering how to detect outliers in such a scenario? Thanks in advance.
 

Ken Abbott

Managing Director
You can screen for +/- 2 std, etc, but there is no substitute for visual inspection. At Morgan Stanley, we looked at 25,000+ time series every time we updated the data. There may be an AI/ML solution, but a) I haven’t seen one and b) I wouldn’t want to bet my career on it.
 
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