Investigation of some criteria for detection of variance shift and nonrandomness in a sequence of observations under various distribution laws and sample sizes

Abstract

The distribution of the Hsu test statistic has been investigated in case when distributions of observed random variables di er from the normal law by methods of statistical simulation. The limiting statistic distributions have been approxi- mated for a number observation distribution laws. The investigation of Bartels and Wald-Wolfowitz test statistic distributions has been carried out in the case of the limited sample sizes.