Wald Statistic

The results spreadsheet with the parameter estimates for the Cox proportional hazard regression model includes the so-called Wald statistic, and the p-value for that statistic. This statistic is a test of significance of the regression coefficient; it is based on the asymptotic normality property of maximum likelihood estimates, and is computed as:

W = b * 1/Var(b) * b

In this formula, b stands for the parameter estimates, and Var(b) stands for the asymptotic variance of the parameter estimates. The Wald statistic is tested against the Chi-square distribution.

In STATISTICA, the Wald statistic is computed in many modules (that use maximum likelihood methods), for example, the Nonlinear Estimation, Survival Analysis, Time Series, or Generalized Linear/Nonlinear Models modules. An alternative statistic is the Score Statistic.