ThmDex – An index of mathematical definitions, results, and conjectures.
Wald's second equation under independence
Formulation 0
Let $X_1, X_2, X_3, \ldots \in \text{Random}(\mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \ldots$ is an D3357: Identically distributed random collection
(ii) \begin{equation} \mathbb{E} |X_1|^2 < \infty \end{equation}
(iii) $N \in \text{Random}(\mathbb{N})$ is a D5216: Random natural number
(iv) \begin{equation} \mathbb{E} N^2 < \infty \end{equation}
(v) $N, X_1, X_2, X_3, \ldots$ is an D2713: Independent random collection
Then \begin{equation} \text{Var} \left( \sum_{n = 1}^N X_n \right) = \mathbb{E} (N) \text{Var} X_1 + \text{Var} (N) (\mathbb{E} X_1)^2 \end{equation}