A central limit theorem for normalized products of random matrices

DOI10.1007/S10998-008-6183-3MaRDI QIDQ2390146zbMATH OpenOpenAlexFDO

Authors Rolando Cavazos-Cadena, Daniel Hernández-Hernández

Publication date 20 July 2009

Published in Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10998-008-6183-3

zbMATH Keywords

Birkhoff's distancedelayed processdivisibility of a distributioninvariant measurelaw of large numbersrandom productsuniform differentiability of a family of characteristic functions

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Convergence of probability measures (60B10) Central limit and other weak theorems (60F05)

Review text

Motivated by the study of ergodic properties of dynamical systems, the analysis of the asymptotic behavior of products of random matrices can be traced back, at least, to the early sixties [cf. \textit{H. Furstenberg and H. Kesten}, Ann. Math. Stat. 31, 457--469 (1960; Zbl 0137.35501)]. In the recent years, applications of products of random matrices in statistical physics, chaotic dynamical systems, filtering and Schrödinger operators have motivated a deep study of this theory. This paper concerns the asymptotic behavior of a Markov process obtained from normalized products of independent and identically distributed random matrices. The weak convergence of this process is proved, as well as the law of large numbers and the central limit theorem.

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Cites work

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(13)

• Functional central limit theorems and their associated large deviation principles for products of random matrices
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• A central limit theorem for products of dependent random linear and nonlinear operators

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