Non-asymptotic results for singular values of Gaussian matrix products (Q2041863): Difference between revisions

The authors provide a non-asymptotic analysis of the singular values and Lyapunov exponents of Gaussian matrix products when the number of terms in the product is large. They obtain concentration estimates for sums of Lyapunov exponents, a quantitative rate for convergence of the empirical measure of the squared singular values to the uniform distribution on \([0, 1]\), and results on the joint normality of Lyapunov exponents. The key technical idea is that small ball probabilities for volumes of random projections gives a way to quantify convergence in the multiplicative ergodic theorem for random matrices.