From infinite urn schemes to decompositions of self-similar Gaussian processes

Abstract : We investigate a special case of infinite urn schemes first considered by Karlin (1967), especially its occupancy and odd-occupancy processes. We first propose a natural randomization of these two processes and their decompositions. We then establish functional central limit theorems, showing that each randomized process and its components converge jointly to a decomposition of certain self-similar Gaussian process. In particular, the randomized occupancy process and its components converge jointly to the decomposition of a time-changed Brownian motion $\mathbb B(t^\alpha), \alpha\in(0,1)$, and the randomized odd-occupancy process and its components converge jointly to a decomposition of fractional Brownian motion with Hurst index $H\in(0,1/2)$. The decomposition in the latter case is a special case of the decompositions of bi-fractional Brownian motions recently investigated by Lei and Nualart (2009). The randomized odd-occupancy process can also be viewed as correlated random walks, and in particular as a complement to the model recently introduced by Hammond and Sheffield (2013) as discrete analogues of fractional Brownian motions.
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Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2016, 21, pp.43. 〈10.1214/16-EJP4492〉
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Olivier Durieu, Yizao Wang. From infinite urn schemes to decompositions of self-similar Gaussian processes. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2016, 21, pp.43. 〈10.1214/16-EJP4492〉. 〈hal-01184411v2〉

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