To detect and to diagnose, the localized defect in rolling bearings, a statistical model based on the sequential Wald test is established to generate a “hypothetical” signal which takes the state zero in absence of the defect, and the state one if a peak of resonance caused by the defect in the bearing is present. The autocorrelation of this signal allows one to reveal the periodicity of the defect and, consequently, one can establish the diagnosis by comparing the frequency of the defect with the characteristic frequencies of the bearing. The originality of this work is the use of the Wald test in the signal processing domain. Secondly, this method permits the detection without considering the level of noise and the number of observations, it can be used as a support for the Fast Fourier Transform. Finally, the simulated and experimental signals are used to show the efficiency of this method based on the Wald test.