Randomized urn models revisited using stochastic approximation

DOI10.1214/12-AAP875zbMath1429.62360arXiv1101.2786MaRDI QIDQ363849

Sophie Laruelle, Gilles Pagès

Publication date: 5 September 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.2786

zbMATH Keywords

asymptotic normality; stochastic approximation; strong consistency; adaptive asset allocation; extended Pólya urn models; multi-arm clinical trials; nonhomogeneous generating matrix

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

62P10: Applications of statistics to biology and medical sciences; meta analysis

62L20: Stochastic approximation

62L05: Sequential statistical design

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