Merlion: A Machine Learning Library for Time Series

Merlion: A Machine Learning Library for Time Series

Table of Contents

1. Introduction
2. Installation
3. Documentation
4. Getting Started
   1. Anomaly Detection
   2. Forecasting
5. Evaluation and Benchmarking
6. Technical Report and Citing Merlion

Introduction

Merlion is a Python library for time series intelligence. It provides an end-to-end machine learning framework that includes loading and transforming data, building and training models, post-processing model outputs, and evaluating model performance. It supports various time series learning tasks, including forecasting, anomaly detection, and change point detection for both univariate and multivariate time series. This library aims to provide engineers and researchers a one-stop solution to rapidly develop models for their specific time series needs, and benchmark them across multiple time series datasets.

Merlion's key features are

• Standardized and easily extensible data loading & benchmarking for a wide range of forecasting and anomaly detection datasets.
• A library of diverse models for both anomaly detection and forecasting, unified under a shared interface. Models include classic statistical methods, tree ensembles, and deep learning approaches. Advanced users may fully configure each model as desired.
• Abstract DefaultDetector and DefaultForecaster models that are efficient, robustly achieve good performance, and provide a starting point for new users.
• AutoML for automated hyperaparameter tuning and model selection.
• Practical, industry-inspired post-processing rules for anomaly detectors that make anomaly scores more interpretable, while also reducing the number of false positives.
• Easy-to-use ensembles that combine the outputs of multiple models to achieve more robust performance.
• Flexible evaluation pipelines that simulate the live deployment & re-training of a model in production, and evaluate performance on both forecasting and anomaly detection.
• Native support for visualizing model predictions.

The table below provides a visual overview of how Merlion's key features compare to other libraries for time series anomaly detection and/or forecasting.