Abstract
The fundamental identity is generalized to the case of independent random variables with non-identical distributions. The conditions for the validity of the differentiation of the identity are discussed. The results given in [1], [2], and [3] are obtained as special cases.
Citation
Gunnar Blom. "A Generalization of Wald's Fundamental Identity." Ann. Math. Statist. 20 (3) 439 - 444, September, 1949. https://doi.org/10.1214/aoms/1177729996
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