Predictive maintenance in the car industry is an active field of research for machine learning and anomaly detection. The capability of cars to produce time series data from sensors is growing as the car industry is heading towards more connected and electric vehicles. Unsupervised anomaly detectors are therefore very adapted to process those complex multidimensional time series and highlight abnormal behaviors. We propose to use recurrent and convolutional neural networks based on unsupervised anomaly detectors with simple architectures on real, multidimensional time series generated by the car sensors and extracted from the Controller Area Network bus (CAN). Our method is then evaluated through known specific anomalies. As the computational costs of Machine Learning algorithms are a rising issue regarding embedded scenarios such as car anomaly detection, we also focus on creating anomaly detectors that are as small as possible. Using a state-of-the-art methodology incorporating a time series predictor and a prediction-error-based anomaly detector, we show that we can obtain roughly the same anomaly detection performance with smaller predictors, reducing parameters and calculations by up to23%and60%, respectively. Finally, we introduce a method to correlate variables with specific anomalies by using anomaly detector results and labels.