Edgeworth Expansion and Large Deviations for the Coefficients of Products of Positive Random Matrices

被引:0
|
作者
Xiao, Hui [1 ]
Grama, Ion [2 ]
Liu, Quansheng [2 ]
机构
[1] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
[2] Univ Bretagne Sud, CNRS UMR LMBA 6205, F-56017 Vannes, France
关键词
Products of positive random matrices; Berry-Esseen theorem; Edgeworth expansion; Precise large deviations; Local limit theorem; Spectral gap; SPECTRAL GAP PROPERTIES; RANDOM-WALKS; LIMIT-THEOREMS; ASYMPTOTICS;
D O I
10.1007/s10959-025-01406-z
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Consider the matrix products Gn:=gn & ctdot;g1\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$G_n: = g_n \cdots g_1$$\end{document}, where (gn)n >= 1\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(g_{n})_{n\geqslant 1}$$\end{document} is a sequence of independent and identically distributed positive random dxd\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$d\times d$$\end{document} matrices. Under the optimal third moment condition, we first establish a Berry-Esseen theorem and an Edgeworth expansion for the (i, j)-th entry Gni,j\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$G_n<^>{i,j}$$\end{document} of the matrix Gn\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$G_n$$\end{document}, where 1 <= i,j <= d\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$1 \leqslant i, j \leqslant d$$\end{document}. Utilizing the Edgeworth expansion for Gni,j\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$G_n<^>{i,j}$$\end{document} under the changed probability measure, we then prove precise upper and lower large deviation asymptotics for the entries Gni,j\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$G_n<^>{i,j}$$\end{document} subject to an exponential moment assumption. As applications, we deduce local limit theorems with large deviations for Gni,j\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$G_n<^>{i,j}$$\end{document} and establish upper and lower large deviations bounds for the spectral radius rho(Gn)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\rho (G_n)$$\end{document} of Gn\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$G_n$$\end{document}. A byproduct of our approach is the local limit theorem for Gni,j\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$G_n<^>{i,j}$$\end{document} under the optimal second moment condition. In the proofs we develop a spectral gap theory for both the norm cocycle and the coefficients, which is of independent interest.
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页数:54
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