Strong convergence of proportions in a multicolor Pólya urn

Strong convergence of proportions in a multicolor Pólya urn

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Article ID: iaor1998915
Country: United Kingdom
Volume: 34
Issue: 2
Start Page Number: 426
End Page Number: 435
Publication Date: Jun 1997
Journal: Journal of Applied Probability
Authors:
Abstract:

We prove strong convergence of the proportions Un/Tn of balls in a multitype generalized Pólya urn model, using martingale arguments. The limit is charactierized as a convex combination of left dominant eigenvectors of the replacement matrix R, with random Dirichlet coefficients.

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