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Showing 1 to 1 of 1 for “"Wald’s identity"”.
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On Compound Variables and the Asymptotic Behaviour of Their Tails
… the expectation of a random sum we prove Wald's identity. It does not assume the independence of the counting variable and the increments in the same way we do in the definition of a compound variable. Towards the end, we shift the focus from general theory and average behaviour to tail …