Martingale Functional Central Limit Theorems for a Generalized Polya Urn

Abstract

In a generalized two-color Polya urn scheme, allowing negative replacements, we use martingale techniques to obtain weak invariance principles for the urn process $(W_n)$, where $W_n$ is the number of white balls in the urn at stage $n$. The normalizing constants and the limiting Gaussian process are shown to depend on the ratio of the eigenvalues of the replacement matrix.