Precise large deviation asymptotics for products of random matrices

DOI10.1016/J.SPA.2020.03.005zbMATH Open1450.60024arXiv1907.02456OpenAlexW3013276823MaRDI QIDQ2196366FDOQ2196366

Quansheng Liu, Ion Grama, Hui Xiao

Publication date: 2 September 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Let $(g_n{)}_{ngeq1}$ be a sequence of independent identically distributed $dimesd$ real random matrices with Lyapunov exponent $gamma$. For any starting point $x$ on the unit sphere in $mathbb{R}^d$, we deal with the norm $|G_{n}x|$, where $G_n:=g_{n}ldots{g}_1$. The goal of this paper is to establish precise asymptotics for large deviation probabilities $mathbbP(log|G_{n}x|geqn(q+l))$, where $q>gamma$ is fixed and $l$ is vanishing as $noinfty$. We study both invertible matrices and positive matrices and give analogous results for the couple $(X_n^x,log|G_{n}x|)$ with target functions, where $X_n^x=G_{n}x/|G_{n}x|$. As applications we improve previous results on the large deviation principle for the matrix norm $|G_n|$ and obtain a precise local limit theorem with large deviations.

Full work available at URL: https://arxiv.org/abs/1907.02456

zbMATH Keywords

random walklarge deviationspectral gapproduct of random matricesBahadur-Rao theorem

Mathematics Subject Classification ID

Large deviations (60F10) Random matrices (probabilistic aspects) (60B20) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (13)

• Precise asymptotics for random matrices and random growth models
• Large deviation expansions for the coefficients of random walks on the general linear group
• Berry-Esseen bounds and moderate deviations for random walks on \(\mathrm{GL}_d(\mathbb{R})\)
• Large Gap Asymptotics for Random Matrices
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• Asymptotic behaviour of products of some classes of random matrices in the Bernoulli scheme
• Berry-Esseen bound and precise moderate deviations for products of random matrices
• Moderate deviations and local limit theorems for the coefficients of random walks on the general linear group
• Asymptotics of products of nonnegative random matrices
• A zero-one law for invariant measures and a local limit theorem for coefficients of random walks on the general linear group
• The stability of large random matrices and their products
• Product matrix processes for coupled multi-matrix models and their hard edge scaling limits
• Random walks on hyperbolic spaces: concentration inequalities and probabilistic Tits alternative

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