Stable laws and products of positive random matrices

被引:12
作者
Hennion, H. [1 ]
Herve, L. [2 ]
机构
[1] Univ Rennes 1, Inst Math Rennes, F-35042 Rennes, France
[2] Inst Natl Sci Appl, IRMAR, F-35042 Rennes, France
关键词
products of random matrices; stable laws;
D O I
10.1007/s10959-008-0153-y
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
l Let S be the multiplicative semigroup of q x q matrices with positive entries such that every row and every column contains a strictly positive element. Denote by (X-n) n >= 1 a sequence of independent identically distributed random variables in S and by X-(n) = X-n...X-1, n >= 1, the associated left random walk on S. We assume that (Xn) n >= 1 satisfies the contraction property [GRAPHICS] where S is the subset of all matrices which have strictly positive entries. We state conditions on the distribution of the random matrix X-1 which ensure that the logarithms of the entries, of the norm, and of the spectral radius of the products X-(n), n >= 1, are in the domain of attraction of a stable law.
引用
收藏
页码:966 / 981
页数:16
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