An extension of a lemma of Wald

1 June 1966

journal article
Published by Cambridge University Press (CUP) in Journal of Applied Probability

Vol. 3 (1) , 272-273
https://doi.org/10.2307/3212052

Abstract

We define a natural extension of the concept of expectation of a random variable y as follows: M(y) = a if there exists a constant − ∞ ≦ a ≦ ∞ such that if y₁, y₂, … is a sequence of independent identically distributed (i.i.d.) random variables with the common distribution of y then

Keywords

LEMMA OF WALD
I.I.D
NATURAL EXTENSION
COMMON DISTRIBUTION
IDENTICALLY DISTRIBUTED
INDEPENDENT IDENTICALLY

This publication has 2 references indexed in Scilit:

THE STRONG LAW OF LARGE NUMBERS WHEN THE FIRST MOMENT DOES NOT EXIST
Proceedings of the National Academy of Sciences, 1955
On an Equation of Wald
The Annals of Mathematical Statistics, 1946