Detecting Changes under Multivariate Normal Distributions via the Generalized Inference

Algorithm 2

The Bonferroni inequality method for (13).

	Inputs:
	The sample , the threshold values , and the nominal level .
	Steps:
(1)	For :
	Use sample to compute the -value for testing
	by the generalized inference approach in Section 2.
	End loop.
(2)	Reject the null hypotheses if .