Limit theorems for products of positive random matrices
Hennion, H.
Ann. Probab., Tome 25 (1997) no. 4, p. 1545-1587 / Harvested from Project Euclid
Let $S$ be the set of $q \times q$ matrices with positive entries, such that each column and each row contains a strictly positive element, and denote by $S^\circ$ the subset of these matrices, all entries of which are strictly positive. Consider a random ergodic sequence $(X_n)_{n \geq1}$ in $S$. The aim of this paper is to describe the asymptotic behavior of the random products $X^{(n)} =X_n \ldots X _1, n\geq 1$ under the main hypothesis $P(\Bigcup_{n\geq 1}[X^{(n)}\in S^\circ])>0$. We first study the behavior “in direction” of row and column vectors of $X^{(n)}$. Then, adding a moment condition, we prove a law of large numbers for the entries and lengths of these vectors and also for the spectral radius of $X^{(n)}$ . Under the mixing hypotheses that are usual in the case of sums of real random variables, we get a central limit theorem for the previous quantities. The variance of the Gaussian limit law is strictly positive except when $(X^{(n)})_{n\geq 1}$ is tight. This tightness property is fully studied when the $X_n, n\geq 1$, are independent.
Publié le : 1997-10-14
Classification:  Positive random matrices,  mixing,  limit theorems,  60F99,  60F05
@article{1023481103,
     author = {Hennion, H.},
     title = {Limit theorems for products of positive random matrices},
     journal = {Ann. Probab.},
     volume = {25},
     number = {4},
     year = {1997},
     pages = { 1545-1587},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1023481103}
}
Hennion, H. Limit theorems for products of positive random matrices. Ann. Probab., Tome 25 (1997) no. 4, pp.  1545-1587. http://gdmltest.u-ga.fr/item/1023481103/