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The answer depends on the type of data that you have and what you want to look at.

If you have a long time series and want to look for long term trends or for seasonality then you will need to apply some form of smoothing first. Many statistical techniques and tests are best suited for data which are Gaussian (Normal). There are transformations which you might wish to apply to the data to make them more Gaussian. For example, if the data are percentages which are near to 0 or 100 then you might wish to apply the arcsine transform. Another common operation is the log transform.

Also, there are different kinds of tests for comparing equality of means, equality of variance (or standard deviation), equality of distribution and so on.

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