TY - JOUR
T1 - Nonconventional random matrix products
AU - Kifer, Yuri
AU - Sodin, Sasha
N1 - Publisher Copyright:
© 2018, University of Washington. All rights reserved.
PY - 2018
Y1 - 2018
N2 - Let ξ1, ξ2, … be independent identically distributed random variables and F: ℝl → SLd(ℝ) be a Borel measurable matrix-valued function. Set Xn = F(ξq1(n), ξq2(n), …, ξql(n)) where 0 ≤ q1 < q2 < … < ql are increasing functions taking on integer values on integers. We study the asymptotic behavior as N → ∞ 1 of the singular values of the random matrix product ΠN = XN … X2X1 and show, in particular, that (under certain conditions) [math] converges with probability one as N → ∞. We also obtain similar results for such products when ξi form a Markov chain. The essential difference from the usual setting appears since the sequence (Xn, n ≥ 1) is long-range dependent and nonstationary.
AB - Let ξ1, ξ2, … be independent identically distributed random variables and F: ℝl → SLd(ℝ) be a Borel measurable matrix-valued function. Set Xn = F(ξq1(n), ξq2(n), …, ξql(n)) where 0 ≤ q1 < q2 < … < ql are increasing functions taking on integer values on integers. We study the asymptotic behavior as N → ∞ 1 of the singular values of the random matrix product ΠN = XN … X2X1 and show, in particular, that (under certain conditions) [math] converges with probability one as N → ∞. We also obtain similar results for such products when ξi form a Markov chain. The essential difference from the usual setting appears since the sequence (Xn, n ≥ 1) is long-range dependent and nonstationary.
KW - Avalanche principle
KW - Large deviations
KW - Nonconventional limit theorems
KW - Random matrix products
UR - http://www.scopus.com/inward/record.url?scp=85050943926&partnerID=8YFLogxK
U2 - 10.1214/18-ECP140
DO - 10.1214/18-ECP140
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AN - SCOPUS:85050943926
SN - 1083-589X
VL - 23
JO - Electronic Communications in Probability
JF - Electronic Communications in Probability
ER -