What is a reference that describes the "generalized likelihood ratio" test to determine online (i.e., meaning that we add an observation, then check, then add an observation, then check) whether the mean of a time-series has shifted?
I need descriptions of algorithms to be implemented into computer code or reference implementations in python, C++, Java or anything really.
- Basseville, M., & Nikiforov, I. V. (1993). Detection of abrupt changes: theory and application (Vol. 104). Englewood Cliffs, NJ: Prentice Hall.