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.