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Title: Gaussian approximation theorems for urn models and their applications
Authors: Bai, Z.D. 
Hu, F.
Zhang, L.-X.
Keywords: Functional central limit theorems
Gaussian approximation
Nonhomogeneous generating matrix
Randomized play-the-winner rule
The law of iterated logarithm
Urn model
Issue Date: Nov-2002
Citation: Bai, Z.D., Hu, F., Zhang, L.-X. (2002-11). Gaussian approximation theorems for urn models and their applications. Annals of Applied Probability 12 (4) : 1149-1173. ScholarBank@NUS Repository.
Abstract: We consider weak and strong Gaussian approximations for a two-color generalized Friedman's urn model with homogeneous and nonhomogeneous generating matrices. In particular, the functional central limit theorems and the laws of iterated logarithm are obtained. As an application, we obtain the asymptotic properties for the randomized-play-the-winner rule. Based on the Gaussian approximations, we also get some variance estimators for the urn model.
Source Title: Annals of Applied Probability
ISSN: 10505164
DOI: 10.1214/aoap/1037125857
Appears in Collections:Staff Publications

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