Central limit theorems for multicolor urns with dominated colors (Q983172)

The urn contains \(a_j>0\) balls of color \(j \in \{1,\ldots,d\}\), where \(d \geq 2\). At each time \(n \geq 1\), a ball is drawn and then replaced with a random number of balls of the same color. Let \(X_{n,j}\) denote the indicator of \{ball of color \(j\) at time \(n\)\}. Say that \(A_{n,j} \geq 0\) balls of color \(j\) are added to the urn when \(X_{n,j}=1\). Assume that \[ EA_{n,j}=EA_{n,1}, \quad n \geq 1, 1 \leq j \leq d_0, \] \[ \liminf_n EA_{n,1}>\limsup_n EA_{n,j}, \quad j>d_0, \] for some integer \(1 \leq d_0 \leq d\). When \(d_0<d\) some colors (those labeled from \(d_0+1\) to \(d\)) are dominated by the others. Let \( N_{n,j}=a_j+ \sum_{k=1}^n X_{k,j} A_{k,j}\) be the number of balls of color \(j\) in the urn at time \(n\) and \(Z_{n,j}=N_{n,j}/ \sum_{i=1}^d N_{n,i}\), \(Z_{n,j}^{\ast}=N_{n,j}/ \sum_{i=1}^{d_0}N_{n,i}\), \(M_{n,j}^{\ast}=\sum_{k=1}^n X_{k,j} /(1+\sum_{i=1}^{d_0} \sum_{k=1}^n X_{k,i})\). Fix \(j\leq d_0\) and \(n \to \infty\). Under some conditions, \(Z_{n,j} \to Z_{(j)}\) a.s., where \(Z_{(j)}\) is a random variable such that \(Z_{(j)}>0\) a.s. The authors give conditions for \[ (C_{n,j}^\ast, D_{n,j}^\ast) \to \mathcal N(0,U_j) \times \mathcal N(0,V_j) \text{ stably,} \] where \( C_{n,j}^\ast= \sqrt n (M_{n,j}^\ast-Z_{n,j}^\ast), D_{n,j}^\ast=\sqrt n (Z_{n,j}^\ast-Z_{(j)})\) and \(U_j,V_j\) are certain random variables. (\(\mathcal N(a,b)\) denote the one-dimensional Gaussian law with mean \(a\) and variance \(b\)).