Functional central limit theorems and their associated large deviation principles for products of random matrices

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Pages (from-to)133-166
Number of pages34
JournalProbability Theory and Related Fields
Volume76
Issue number2
DOIs
StatePublished - Oct 1 1987
Externally publishedYes

ASJC Scopus subject areas

  • Analysis
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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