Published Online: 15 JUL 2005
Copyright © 2005 John Wiley & Sons, Ltd
Encyclopedia of Biostatistics
How to Cite
Lee, M.-L. T. 2005. Wald's Identity. Encyclopedia of Biostatistics. 8.
- Published Online: 15 JUL 2005
This identity, due to A. Wald, arises in the study of boundary problems in a random walk. It provides expressions for the mean and variance of the stopping time in sequential analysis.
- random walk;
- sequential analysis;
- stopping time;
- moment generating function