The Gaussian approximation for multi-color generalized Friedman's urn model
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Abstract: The Friedman's urn model is a popular urn model which is widely used in many disciplines. In particular, it is extensively used in treatment allocation schemes in clinical trials. In this paper, we prove that both the urn composition process and the allocation proportion process can be approximated by a multi-dimensional Gaussian process almost surely for a multi-color generalized Friedman's urn model with non-homogeneous generating matrices. The Gaussian process is a solution of a stochastic differential equation. This Gaussian approximation together with the properties of the Gaussian process is important for the understanding of the behavior of the urn process and is also useful for statistical inferences. As an application, we obtain the asymptotic properties including the asymptotic normality and the law of the iterated logarithm for a multi-color generalized Friedman's urn model as well as the randomized-play-the-winner rule as a special case.
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Cited in
(8)- Asymptotic theorems for urn models with nonhomogeneous generating matrices
- General urn models with several types of balls and Gaussian limiting fields
- Immigrated urn models-theoretical properties and applications
- Gaussian process approximations for multicolor Pólya urn models
- A Gaussian process approximation for two-color randomly reinforced urns
- The Gaussian approximation for generalized Friedman's urn model with heterogeneous and unbalanced updating
- Gaussian approximation theorems for urn models and their applications
- Analysis of a generalized Friedman's urn with multiple drawings
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