Rate of convergence for traditional P\'olya urns

Abstract

Consider a P\'olya urn with balls of several colours, where balls are drawn sequentially and each drawn ball immediately is replaced together with a fixed number of balls of the same colour. It is well-known that the proportions of balls of the different colours converge in distribution to a Dirichlet distribution. We show that the rate of convergence is $\Theta(1/n)$ in the minimal $L_p$ metric for any $p\in[1,\infty]$, extending a result by Goldstein and Reinert; we further show the same rate for the L\'evy distance, while the rate for the Kolmogorov distance depends on the parameters, i.e., on the initial composition of the urn. The method used here differs from the one used by Goldstein and Reinert, and uses direct calculations based on the known exact distributions.