Abstract
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.
| Original language | English |
|---|---|
| Journal | Electronic Communications in Probability |
| Volume | 23 |
| DOIs | |
| State | Published - 2018 |
Bibliographical note
Publisher Copyright:© 2018, University of Washington. All rights reserved.
Keywords
- Avalanche principle
- Large deviations
- Nonconventional limit theorems
- Random matrix products
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Erratum: Nonconventional random matrix products (Electronic Communications in Probability, (2018) 23, 10.1214/18-ECP140)
Kifer, Y. & Sodin, S., 2019, In: Electronic Communications in Probability. 24, 6.Research output: Contribution to journal › Comment/debate
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