Central limit theorem for an adaptive randomly reinforced urn model

Andrea Ghiglietti, Anand N. Vidyashankar, William F. Rosenberger

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

6 Citazioni (Scopus)

Abstract

The generalized Pòlya urn (GPU) models and their variants have been investigated in several disciplines. However, typical assumptions made with respect to the GPU do not include urn models with diagonal replacement matrix, which arise in several applications, specifically in clinical trials. To facilitate mathematical analyses of models in these applications, we introduce an adaptive randomly reinforced urn model that uses accruing statistical information to adaptively skew the urn proportion toward specific targets. We study several probabilistic aspects that are important in implementing the urn model in practice. Specifically, we establish the law of large numbers and a central limit theorem for the number of sampled balls. To establish these results, we develop new techniques involving last exit times and crossing time analyses of the proportion of balls in the urn. To obtain precise estimates in these techniques, we establish results on the harmonic moments of the total number of balls in the urn. Finally, we describe our main results in the context of an application to response-adaptive randomization in clinical trials. Our simulation experiments in this context demonstrate the ease and scope of our model.
Lingua originaleEnglish
pagine (da-a)2956-3003
Numero di pagine48
RivistaTHE ANNALS OF APPLIED PROBABILITY
DOI
Stato di pubblicazionePubblicato - 2017

Keywords

  • Clinical trials
  • crossing times
  • generalized Pòlya urn
  • harmonic moments
  • last exit times
  • target allocation

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