Covariances in Pólya urn schemes
In: Probability in the Engineering and Informational Sciences, Jg. 37 (2021-10-08), S. 60-71
Online
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Zugriff:
By now there is a solid theory for Polya urns. Finding the covariances is somewhat laborious. While these papers are “structural,” our purpose here is “computational.” We propose a practicable method for building the asymptotic covariance matrix in tenable balanced urn schemes, whereupon the asymptotic covariance matrix is obtained by solving a linear system of equations. We demonstrate the use of the method in growing tenable balanced irreducible schemes with a small index and in critical urns. In the critical case, the solution to the linear system of equations is explicit in terms of an eigenvector of the scheme.
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Covariances in Pólya urn schemes
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Autor/in / Beteiligte Person: | Mahmoud, Hosam M. |
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Zeitschrift: | Probability in the Engineering and Informational Sciences, Jg. 37 (2021-10-08), S. 60-71 |
Veröffentlichung: | Cambridge University Press (CUP), 2021 |
Medientyp: | unknown |
ISSN: | 1469-8951 (print) ; 0269-9648 (print) |
DOI: | 10.1017/s0269964821000450 |
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