Algorithm 1 Tracking MC

Require: A dataset $\mathcal{X}=\{{\left\{x_{n,t}\right\}}_{n=1}^N\mid t\in 1,\dots ,T\}$. 1: for t = 1 to t = T do 2:       Estimate ${\widehat{K}}_t$ and ${\left\{{\widehat{g}}_{k,t}\right\}}_{k=1}^{{\widehat{K}}_t}$ from the data ${\left\{x_{n,t}\right\}}_{n=1}^N$ using SDMS. 3:       Calculate ${\mathrm{MC}}_t:=\mathrm{MC}\left({\left\{{\widehat{\gamma }}_k\left(x_n\right)\right\}}_{k,n}\right)$. 4: end for 5: return ${\left\{{\mathrm{MC}}_t\right\}}_{t=1}^T$.