Stability of block-triangular stationary random matrices

DOI10.1016/j.sysconle.2008.01.001zbMath1140.93492OpenAlexW2136015638MaRDI QIDQ932116

László Gerencsér, Zsanett Orlovits, György Michaletzky

Publication date: 10 July 2008

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2008.01.001

zbMATH Keywords

identificationLyapunov exponentsrandom matrix productsGARCH processesrandom coefficient linear stochastic systems

Mathematics Subject Classification ID

Lyapunov and storage functions (93D30) Linear systems in control theory (93C05) Stochastic stability in control theory (93E15) Stochastic systems in control theory (general) (93E03)

Related Items (10)

Tails of bivariate stochastic recurrence equation with triangular matrices ⋮ CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH ⋮ Asymptotics of products of nonnegative random matrices ⋮ Tail indices for \(AX+B\) recursion with triangular matrices ⋮ Lower and upper bounds for the largest Lyapunov exponent of matrices ⋮ On the gap between deterministic and probabilistic Lyapunov exponents for continuous-time linear systems ⋮ Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes ⋮ On the gap between deterministic and probabilistic joint spectral radii for discrete-time linear systems ⋮ Randomly switched vector fields sharing a zero on a common invariant face ⋮ Affine stochastic equation with triangular matrices

Cites Work

• Unnamed Item
• Unnamed Item
• A proof of Oseledec's multiplicative ergodic theorem
• Lyapunov indicator of discrete inclusions. I
• Strict stationarity of generalized autoregressive processes
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Dynamical systems which undergo switching
• BIBO stability of linear switching systems
• Computationally Efficient Approximations of the Joint Spectral Radius
• Products of Random Matrices

This page was built for publication: Stability of block-triangular stationary random matrices