p. 12, after (13) — the dyadic grid 𝒯 lies in 𝒟_T = {1, …, T − 1} and has |𝒯| ≤ 2 log₂ T points

Let $T\ge2$ and let $\mathcal T=\mathcal T^L\cup\mathcal T^R$ be the dyadic grid (13),

Then every grid point is a possible change point, $\mathcal T\subseteq\mathcal D_T=\{1,\dots,T-1\}$, and

The cardinality bound is what the union bound over the grid costs in the threshold (15), through the factor $\log_2T$ inside the logarithm.

Formalization Note. The paper writes $|\mathcal T|=2+2\lfloor\log_2(T/2)\rfloor\le2\log_2(T)$. The equality fails when $\mathcal T^L$ and $\mathcal T^R$ overlap (for $T=4$, $\mathcal T=\{1,2,3\}$), so only the inequality, which is what the proof of Lemma 5 uses, is stated.