Gaussian fluctuations for the two urn model

Abstract

We introduce a modification of the generalized P\'olya urn model containing two urns and we study the number of balls $B_j(n)$ of a given color $j\in\{1,\ldots,J\}$, $J\in\mathbb{N}$ added to the urns after $n$ draws. We provide sufficient conditions under which the random variables $(B_j(n))_{n\in\mathbb{N}}$ properly normalized and centered converge weakly to a limiting random variable. The result reveals a similar trichotomy as in the classical case with one urn, one of the main differences being that in the scaling we encounter 1-periodic continuous functions. Another difference in our results compared to the classical urn models is that the phase transition of the second order behavior occurs at $\sqrt{\rho}$ and not at $\rho/2$, where $\rho$ is the dominant eigenvalue of the mean replacement matrix.