Precise large deviation results for products of random matrices (Q330714)
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English | Precise large deviation results for products of random matrices |
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Precise large deviation results for products of random matrices (English)
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26 October 2016
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``The theorem of \textit{H. Furstenberg} and \textit{H. Kesten} [Ann. Math. Stat. 31, 457--469 (1960; Zbl 0137.35501)] provides a strong law of large numbers for the norm of a product of random matrices. This [theorem] can be extended under various assumptions, covering nonnegative as well as invertible matrices, to a law of large numbers for the norm of a vector on which the matrices act.'' The authors ``prove corresponding precise large deviation results, generalizing the Bahadur-Rao [\textit{R. R. Bahadur} and \textit{R. Ranga Rao}, Ann. Math. Stat. 31, 1015--1027 (1960; Zbl 0101.12603)] to this situation.'' They ``obtain a third-order Edgeworth expansion for the cumulative distribution function of the vector norm. This result in turn relies on an application of the Nagaev-Guivarch method'' [\textit{H. Hennion} and \textit{L. Hervé}, Lecture Notes in Mathematics 1766 (2001; Zbl 0983.60005); \textit{L. Hervé} and \textit{F. Pène}, Bull. Soc. Math. Fr. 138, No. 3, 415--489 (2010; Zbl 1205.60133)]. The ``result is then used to study matrix recursions, arising e.g. in financial time series, and to provide precise large deviation estimates there.'' (Quotations taken from authors' abstract.) The paper is very long and structured in 11 chapters: Introduction; Notations and preliminaries; Statement of main results; Quasi-compactness of \(Q^s\); Non-arithmeticity and its consequences; The perturbation theorem; Taylor expansion of \(\lambda(t)\) and positivity of the asymptotic variance; The Edgeworth expansion; The Bahadur-Rao theorem for products of random matrices; Tails of stationary solutions of random difference equations; Proofs.
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large deviations
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random matrices
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limit theorems
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random difference equations
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Edgeworth expansion
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Fourier techniques
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Markov chains
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Markov random walks
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heavy tails
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