Open Access
February 2005 Asymptotics in randomized urn models
Zhi-Dong Bai, Feifang Hu
Ann. Appl. Probab. 15(1B): 914-940 (February 2005). DOI: 10.1214/105051604000000774

Abstract

This paper studies a very general urn model stimulated by designs in clinical trials, where the number of balls of different types added to the urn at trial n depends on a random outcome directed by the composition at trials 1,2,…,n−1. Patient treatments are allocated according to types of balls. We establish the strong consistency and asymptotic normality for both the urn composition and the patient allocation under general assumptions on random generating matrices which determine how balls are added to the urn. Also we obtain explicit forms of the asymptotic variance–covariance matrices of both the urn composition and the patient allocation. The conditions on the nonhomogeneity of generating matrices are mild and widely satisfied in applications. Several applications are also discussed.

Citation

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Zhi-Dong Bai. Feifang Hu. "Asymptotics in randomized urn models." Ann. Appl. Probab. 15 (1B) 914 - 940, February 2005. https://doi.org/10.1214/105051604000000774

Information

Published: February 2005
First available in Project Euclid: 1 February 2005

zbMATH: 1059.62111
MathSciNet: MR2114994
Digital Object Identifier: 10.1214/105051604000000774

Subjects:
Primary: 62E20 , 62L05
Secondary: 62F12

Keywords: asymptotic normality , extended Pólya’s urn models , generalized Friedman’s urn model , martingale , nonhomogeneous generating matrix , response-adaptive designs , strong consistency

Rights: Copyright © 2005 Institute of Mathematical Statistics

Vol.15 • No. 1B • February 2005
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