Interacting generalized Friedman’s urn systems

Giacomo Aletti and Andrea Ghiglietti

Stochastic Processes and their Applications, 2017, vol. 127, issue 8, 2650-2678

Abstract: We consider systems of interacting Generalized Friedman’s Urns (GFUs) having irreducible mean replacement matrices. The interaction is modeled through the probability to sample the colors from each urn, that is defined as convex combination of the urn proportions in the system. From the weights of these combinations we individuate subsystems of urns evolving with different behaviors. We provide a complete description of the asymptotic properties of urn proportions in each subsystem by establishing limiting proportions, convergence rates and Central Limit Theorems. The main proofs are based on a detailed eigenanalysis and stochastic approximation techniques.

Keywords: Interacting systems; Urn models; Strong consistency; Central Limit Theorems; Stochastic approximation (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spa.2016.12.003

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