Abraham Wald

This paper grew out of a lecture presented at the 54th Session of the International Statistical Institute in Berlin, August 13 20, 2003, Schneeweiss (2003). It intends not only to outline the eventful life of Abraham Wald (1902 1950) in Austria and in the United States but also to present his extensive scientific work. In particular, the two main subjects, where he earned most of his fame, are outline: Statistical Decision Theory and Sequential Analysis. In addition, emphasis is laid on his contributions to Econometrics and related fields. Abraham Wald is best known, indeed he is famous, for having founded Statistical Decision Theory and also for having developed the theory of sequential sampling. But he also contributed to many other fields of Statistics often giving decisive impulses or even originating new directions of research. In Statistics proper one might mention: asymptotic maximum likelihood theory, nonparametric statistics, tolerance intervals, optimal experimental designs, discriminance analysis, statistical quality control, random walks, the problem of incidental parameters, linear models with errors in the variables, and many more. Econometricians know him for his work on seasonal adjustment, on index number theory, on the identification problem of econometric models, on the problem of estimating such models, and on the famous Wald test as an alternative to the likelihood ratio test. But he also made major contributions to mathematical economic theory