Research Article
Detecting Changes under Multivariate Normal Distributions via the Generalized Inference
Algorithm 1
Computing the
value (
11).
| Inputs: the sample , the threshold value , and the Monte Carlo sample size | | Steps: | (1) | Compute and in (3) and in (10). | (2) | Compute the Cholesky factor of with positive diagonal elements. | (3) | For : | | Generate independent of . | | Compute the Cholesky factor of with positive diagonal elements. | | By (7), compute the th observation . | | End loop. | (4) | Compute , where is the indicator function. |
|