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Wald's Identity

  1. Mei-Ling Ting Lee

Published Online: 15 JUL 2005

DOI: 10.1002/0470011815.b2a15175

Encyclopedia of Biostatistics

Encyclopedia of Biostatistics

How to Cite

Lee, M.-L. T. 2005. Wald's Identity. Encyclopedia of Biostatistics. 8.

Author Information

  1. Channing Laboratory, Boston, MA, USA

Publication History

  1. Published Online: 15 JUL 2005

Abstract

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.

Keywords:

  • random walk;
  • sequential analysis;
  • stopping time;
  • moment generating function