A Gaussian process approximation for two-color randomly reinforced urns

DOI10.1214/EJP.V19-3432MaRDI QIDQ743519zbMATHFDO

Authors Lixin Zhang

Publication date 24 September 2014

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.3392

zbMATH Keywords

Gaussian processfunctional central limit theoremstrong approximationlaw of the iterated logarithmreinforced urn modelPólya urn

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Large deviations (60F10) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Abstract: We prove a Gaussian process approximation for the sequence of random compositions of a two-color randomly reinforced urn for both the cases with the equal and unequal reinforcement means. By using the Gaussian approximation, the law of the iterated logarithm and the functional limit central limit theorem in both the stable convergence sense and the almost-sure conditional convergence sense are established. Also as a consequence, we are able to to prove that the distribution of the urn composition has no points masses both when the reinforcement means are equal and unequal under the assumption of only finite $(2+epsilon)$-th moments.

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Cited in

(10)

• Statistical properties of two-color randomly reinforced urn design targeting fixed allocations
• Networks of reinforced stochastic processes: asymptotics for the empirical means
• Gaussian process approximations for multicolor Pólya urn models
• Fluctuation theorems for synchronization of interacting Pólya's urns
• Synchronization and functional central limit theorems for interacting reinforced random walks
• Infinite-color randomly reinforced urns with dominant colors
• A central limit theorem, and related results, for a two-color randomly reinforced urn
• Interacting reinforced stochastic processes: statistical inference based on the weighted empirical means
• Synchronization of reinforced stochastic processes with a network-based interaction
• Gaussian approximation theorems for urn models and their applications

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