Example

gistfile1.r

n <- 500
a <- rnorm(n, 0, 3)
b <- rnorm(n, 1, 4)
Z <- rep(0, n)
V <- rep(0, n)
P <- rep(0, n)

for (i in seq(5, n)) {
  df <- i %% 24
  A <- a[1:i]
  B <- b[1:i]
  x1 = mean(A)
  x2 = mean(B)
  Z[i] <- (x1 - x2)/sqrt(var(A)^2/i + var(B)^2/i)
  V[i] <- (var(A)^2/i + var(B)^2/i)^2 / ((var(A)^4/(i^2*df)) + (var(B)^4/(i^2*df)))
  result <- t.test(A,B)
  P[i] <- result$p.value
}

plot(P, main='T-test N(0, 3) and N(1, 4)', xlab='clicks', ylab='P-value')
lines(P, col='blue')
abline(h=.05,col='red')