Implementation of the Improved Generalized Likelihood Ratio (GLR) for detecting changes in an online stream.
The stream is generated by a piece-wise stationary stochastic process. The "easiest" example is a piece-wise stationary Benroulli process.
The algorithm is taken directly from the paper: http://proceedings.mlr.press/v98/maillard19a.html
For a demo, please launch the script: DemoGLR_NonParametric.m