553 research outputs found

    An almost sure conditional convergence result and an application to a generalized Polya urn

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    We prove an almost sure conditional convergence result toward a Gaussian kernel and we apply it to a two-colors randomly reinforced urn

    Central limit theorems for a hypergeometric randomly reinforced urn

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    We consider a variant of the randomly reinforced urn where more balls can be simultaneously drawn out and balls of different colors can be simultaneously added. More precisely, at each time-step, the conditional distribution of the number of extracted balls of a certain color given the past is assumed to be hypergeometric. We prove some central limit theorems in the sense of stable convergence and of almost sure conditional convergence, which are stronger than convergence in distribution. The proven results provide asymptotic confidence intervals for the limit proportion, whose distribution is generally unknown. Moreover, we also consider the case of more urns subjected to some random common factors.Comment: 15 pages, submitted, Key-words: Central Limit Theorem; Polya urn; Randomly Reinforced Urn; Stable Convergenc

    Asymptotics for randomly reinforced urns with random barriers

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    An urn contains black and red balls. Let ZnZ_n be the proportion of black balls at time nn and 0L<U10\leq L<U\leq 1 random barriers. At each time nn, a ball bnb_n is drawn. If bnb_n is black and Zn1<UZ_{n-1}<U, then bnb_n is replaced together with a random number BnB_n of black balls. If bnb_n is red and Zn1>LZ_{n-1}>L, then bnb_n is replaced together with a random number RnR_n of red balls. Otherwise, no additional balls are added, and bnb_n alone is replaced. In this paper, we assume Rn=BnR_n=B_n. Then, under mild conditions, it is shown that Zna.s.ZZ_n\overset{a.s.}\longrightarrow Z for some random variable ZZ, and \begin{gather*} D_n:=\sqrt{n}\,(Z_n-Z)\longrightarrow\mathcal{N}(0,\sigma^2)\quad\text{conditionally a.s.} \end{gather*} where σ2\sigma^2 is a certain random variance. Almost sure conditional convergence means that \begin{gather*} P\bigl(D_n\in\cdot\mid\mathcal{G}_n\bigr)\overset{weakly}\longrightarrow\mathcal{N}(0,\,\sigma^2)\quad\text{a.s.} \end{gather*} where P(DnGn)P\bigl(D_n\in\cdot\mid\mathcal{G}_n\bigr) is a regular version of the conditional distribution of DnD_n given the past Gn\mathcal{G}_n. Thus, in particular, one obtains DnN(0,σ2)D_n\longrightarrow\mathcal{N}(0,\sigma^2) stably. It is also shown that L<Z<UL<Z<U a.s. and ZZ has non-atomic distribution.Comment: 13 pages, submitte

    Convergence results for conditional expectations

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    Let E,F be two Polish spaces and [Xn,Yn],[X,Y] random variables with values in E×F (not necessarily defined on the same probability space). We show some conditions which are sufficient in order to assure that, for each bounded continuous function f on E×F, the conditional expectation of f(Xn,Yn) given Yn converges in distribution to the conditional expectation of f(X,Y) given Y

    A Network Model characterized by a Latent Attribute Structure with Competition

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    The quest for a model that is able to explain, describe, analyze and simulate real-world complex networks is of uttermost practical as well as theoretical interest. In this paper we introduce and study a network model that is based on a latent attribute structure: each node is characterized by a number of features and the probability of the existence of an edge between two nodes depends on the features they share. Features are chosen according to a process of Indian-Buffet type but with an additional random "fitness" parameter attached to each node, that determines its ability to transmit its own features to other nodes. As a consequence, a node's connectivity does not depend on its age alone, so also "young" nodes are able to compete and succeed in acquiring links. One of the advantages of our model for the latent bipartite "node-attribute" network is that it depends on few parameters with a straightforward interpretation. We provide some theoretical, as well experimental, results regarding the power-law behaviour of the model and the estimation of the parameters. By experimental data, we also show how the proposed model for the attribute structure naturally captures most local and global properties (e.g., degree distributions, connectivity and distance distributions) real networks exhibit. keyword: Complex network, social network, attribute matrix, Indian Buffet processComment: 34 pages, second version (date of the first version: July, 2014). Submitte

    Rate of convergence of predictive distributions for dependent data

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    This paper deals with empirical processes of the type Cn(B)=n{μn(B)P(Xn+1BX1,...,Xn)},C_n(B)=\sqrt{n}\{\mu_n(B)-P(X_{n+1}\in B\mid X_1,...,X_n)\}, where (Xn)(X_n) is a sequence of random variables and μn=(1/n)i=1nδXi\mu_n=(1/n)\sum_{i=1}^n\delta_{X_i} the empirical measure. Conditions for supBCn(B)\sup_B|C_n(B)| to converge stably (in particular, in distribution) are given, where BB ranges over a suitable class of measurable sets. These conditions apply when (Xn)(X_n) is exchangeable or, more generally, conditionally identically distributed (in the sense of Berti et al. [Ann. Probab. 32 (2004) 2029--2052]). By such conditions, in some relevant situations, one obtains that supBCn(B)P0\sup_B|C_n(B)|\stackrel{P}{\to}0 or even that nsupBCn(B)\sqrt{n}\sup_B|C_n(B)| converges a.s. Results of this type are useful in Bayesian statistics.Comment: Published in at http://dx.doi.org/10.3150/09-BEJ191 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

    Central limit theorems for multicolor urns with dominated colors

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    An urn contains balls of d≥2 colors. At each time n≥1, a ball is drawn and then replaced together with a random number of balls of the same color. Let A n = diag (An,1,…,An,d) be the n-th reinforce matrix. Assuming that EAn,j=EAn,1 for all n and j, a few central limit theorems (CLTs) are available for such urns. In real problems, however, it is more reasonable to assume that EA n,j = EA n,1 whenever  n ≥ 1  and  1 ≤ j ≤ d0 , liminfn EAn,1 > limsupn EAn,j whenever  j > d0 for some integer 1≤d0≤d. Under this condition, the usual weak limit theorems may fail, but it is still possible to prove the CLTs for some slightly different random quantities. These random quantities are obtained by neglecting dominated colors, i.e., colors from d0+1 to d, and they allow the same inference on the urn structure. The sequence (An : n ≥ 1) is independent but need not be identically distributed. Some statistical applications are given as well
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