Time Series Normalization??

Hi all,

I'm working on anomaly detection in time-series data. As a newbie, I'm just curious to know why do we normalize the time-series data?Does it affect the end results when we test an algorithm.

Can someone help me giving some idea and links that gives some idea about the need to normalize the time-series.

Regards,

Andrew

Answer 1

[Kamuran Turksoy]

If you have multiple inputs, and the amplitudes of your inputs are different then it is better to normalize your inputs. In other words, if you have inputs with different means and variance, when you do normalization, you make all of them to have zero mean and one variance. Thus the weight of all input on the output becomes same. To do normalization you can subtract mean of each input from itself and then divide by its standard deviation.

kturksoy