Asymptotic theorems of sequential estimation-adjusted urn models
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Publication:2494583
DOI10.1214/105051605000000746zbMATH Open1090.62084arXivmath/0603329OpenAlexW2158180736MaRDI QIDQ2494583FDOQ2494583
Authors: Siu Hung Cheung, Lixin Zhang, Feifang Hu 
Publication date: 29 June 2006
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: The Generalized P'{o}lya Urn (GPU) 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 propose a sequential estimation-adjusted urn model (a nonhomogeneous GPU) which has a wide spectrum of applications. Because the proposed urn model depends on sequential estimations of unknown parameters, the derivation of asymptotic properties is mathematically intricate and the corresponding results are unavailable in the literature. We overcome these hurdles and establish the strong consistency and asymptotic normality for both the patient allocation and the estimators of unknown parameters, under some widely satisfied conditions. These properties are important for statistical inferences and they are also useful for the understanding of the urn limiting process. A superior feature of our proposed model is its capability to yield limiting treatment proportions according to any desired allocation target. The applicability of our model is illustrated with a number of examples.
Full work available at URL: https://arxiv.org/abs/math/0603329
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- scientific article; zbMATH DE number 4178481
Asymptotic properties of parametric estimators (62F12) Asymptotic properties of parametric tests (62F05) Sequential statistical design (62L05) Strong limit theorems (60F15)
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Cited In (31)
- Asymptotic properties of multicolor randomly reinforced Pólya urns
- Statistical properties of two-color randomly reinforced urn design targeting fixed allocations
- Independence after adaptive allocation
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- The post-Kelly strategy: a negative feedback model of reallocating ant foragers
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- Some practical issues of adaptive GPU design
- Mean and variance of balanced Pólya urns
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- Randomly Reinforced Urn Designs with Prespecified Allocations
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