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.

Central limit theorem for an adaptive randomly reinforced urn model / A. Ghiglietti, A.N. Vidyashankar, W.F. Rosenberger. - In: THE ANNALS OF APPLIED PROBABILITY. - ISSN 1050-5164. - 27:5(2017 Oct), pp. 2956-3003. [10.1214/16-AAP1274]

Central limit theorem for an adaptive randomly reinforced urn model

A. Ghiglietti
Primo
;
2017

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.
Clinical trials; crossing times; harmonic moments; last exit times; generalized Pòlya urn; target allocation
Settore MAT/06 - Probabilita' e Statistica Matematica
Settore SECS-S/01 - Statistica
ott-2017
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/483592
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