Feature request: Implement Matrix Profile XXI (MERLIN algorithm for anomalies)

[udf2457]

See Matrix Profile XXI: MERLIN: Parameter-Free Discovery of Arbitrary Length Anomalies in Massive Time Series Archives. Takaaki Nakamura, Makoto Imamura, Ryan Mercer and Eamonn Keogh. ICDM 2020 [pdf,author's Matlab reference implementation]

Key benefit (as per paper authors):

Existing MP detects anomalies as a by-product of the motif discovery process of MP. Therefore existing MP is more computationally intensive than is required if your goal is anomaly detection rather than motifs.