This paper establishes a functional central limit theorem for a product of random matrices. The sequence of matrices form a stationary process which is a φ-mixing. The individual matrices in the product become closer and closer to the identity matrix with longer and longer products. In addition, these perturbations from the identity matrix have mean zero. A large deviation principle for the limit process is proved.
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty