We consider weak and strong Gaussian approximations for a two-color generalized Friedman's urn model with homogeneous and nonhomogeneous generating matrices. In particular, the functional central limit theorems and the laws of iterated logarithm are obtained. As an application, we obtain the asymptotic properties for the randomized-play-the-winner rule. Based on the Gaussian approximations, we also get some variance estimators for the urn model.
"Gaussian approximation theorems for urn models and their applications." Ann. Appl. Probab. 12 (4) 1149 - 1173, November 2002. https://doi.org/10.1214/aoap/1037125857