Precise large deviation results for products of random matrices

DOI10.1214/15-AIHP684MaRDI QIDQ330714zbMATH OpenOpenAlexFDO

Authors Dariusz Buraczewski, Sebastian Mentemeier

Publication date 26 October 2016

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.6505, https://projecteuclid.org/euclid.aihp/1469723527

zbMATH Keywords

heavy tailsEdgeworth expansionlarge deviationsMarkov chainsrandom matriceslimit theoremsFourier techniquesMarkov random walksrandom difference equations

Mathematics Subject Classification ID

Large deviations (60F10) Random matrices (probabilistic aspects) (60B20) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: The theorem of Furstenberg and Kesten provides a strong law of large numbers for the norm of a product of random matrices. This 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. We prove corresponding precise large deviation results, generalizing the Bahadur-Rao theorem to this situation. Therefore, we 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. Our result is then used to study matrix recursions, arising e.g. in financial time series, and to provide precise large deviation estimates there.

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• Higher order asymptotics for large deviations. I
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