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I have a stream of numbers coming in and I want to flag them as 1 if outlier and 0 if not an outlier. I have two approaches for it:

1) I calculate rolling mean of numbers coming in. Then, I calculate the rolling standard deviation of the calculated mean of numbers. With these values, I create confidence bound with (μ ± 3σ)

2) I calculate rolling mean and standard deviation of numbers coming in. With these values, I create confidence bound with (μ ± 3σ)

Which approach is better and why?

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  • $\begingroup$ Better for CrossValidated. $\endgroup$ – xuq01 2 days ago

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