Hoffmann-Jørgensen inequalities for random walks on the cone of positive definite matrices

DOI10.1007/S10959-022-01189-7MaRDI QIDQ6161608zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 5 June 2023

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2206.10138

zbMATH Keywords

Hoffmann-Jørgensen inequalitiesorthogonal invariancerandom walkRiemannian metricsubmartingalesymmetric coneThompson's metricWishart distribution

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50) Exact distribution theory in statistics (62E15) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: We consider random walks on the cone of $mimesm$ positive definite matrices, where the underlying random matrices have orthogonally invariant distributions on the cone and the Riemannian metric is the measure of distance on the cone. By applying results of Khare and Rajaratnam (Ann. Probab., 45 (2017), 4101--4111), we obtain inequalities of Hoffmann-J{o}rgensen type for such random walks on the cone. In the case of the Wishart distribution $W_m(a,I_m)$, with index parameter $a$ and matrix parameter $I_m$, the identity matrix, we derive explicit and computable bounds for each term appearing in the Hoffmann-J{o}rgensen inequalities.

Review text

Let \(\mathcal{P}_m\) denote the cone of \(m\times m\) positive definite symmetric matrices, and \(\{X_n:n\in\mathbb{N}\}\) be a sequence of independent and orthogonally invariant random matrices in \(\mathcal{P}_m\). Define the random walk \(S_1=X_1\) and \(S_{j+1}=S_j^{1/2}X_{j+1}S_j^{1/2}\) for \(j=1,2,\dots\) Proximity of elements of \(\mathcal{P}_m\) is measured by the Riemannian metric defined by \[ d_R(A,B)=\left(\sum_{j=1}^m\left[\log\lambda_j(A^{-1/2}BA^{-1/2})\right]^2\right)^{1/2}, \] for \(A,B\in\mathcal{P}_m\), with \(\lambda_1(A),\dots,\lambda_m(A)\) denoting the eigenvalues of \(A\). The authors establish Hoffmann-Jørgensen inequalities for this random walk \(\{S_n:n\in\mathbb{N}\}\). That is, they give upper bounds on the right tail probabilities of \(U_n\), where \[ U_n=\max\{d_R(I_m,S_1),\dots,d_R(I_m,S_n)\}\,, \] and \(I_m\) is the \(m\times m\) identity matrix. Particular attention is paid to the situation where the \(X_n\) have the Wishart distribution \(W_m(a,I_m)\), i.e., in the case where the underlying random matrices have the following density with respect to Lebesgue measure on \(\mathcal{P}_m\): \[ w(x)=\frac{1}{2^{ma}\Gamma_m(a)}\left(\det x\right)^{a-\frac{1}{2}(m+1)}\exp\left\{-\frac{1}{2}\text{tr }x\right\}\,, \] where \(\Gamma_m(a)=\pi^{m(m-1)/4}\prod_{j=1}^m\Gamma\left(a-\frac{1}{2}(j-1)\right)\) for \(a>\frac{1}{2}(m-1)\), and where \(\Gamma(\cdot)\) is the gamma function. In this example, explicit and computable upper bounds are given for each of the terms appearing in the corresponding Hoffmann-Jørgensen inequality.

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Cited in

(4)

• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• Matsumoto-Yor and Dufresne type theorems for a random walk on positive definite matrices
• Probability inequalities for strongly left-invariant metric semigroups/monoids, including all Lie groups
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