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A central limit theorem for normalized products of random matrices

✍ Scribed by Rolando Cavazos-Cadena; Daniel Hernández-Hernández

Publisher
Springer Netherlands
Year
2008
Tongue
English
Weight
283 KB
Volume
56
Category
Article
ISSN
0031-5303

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✦ Synopsis

This note concerns the asymptotic behavior of a Markov process obtained from normalized products of independent and identically distributed random matrices. The weak convergence of this process is proved, as well as the law of large numbers and the central limit theorem.

📜 SIMILAR VOLUMES

A central limit theorem for self-normali
A central limit theorem for self-normalized products of random variables
✍ M.P Quine 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 100 KB

We give conditions under which the self-normalized product of independent and identically distributed (i.i.d) random variables X1; X2; : : :, where \* denotes the sum over all n-1-long sequences of integers 16i1¡i2¡ • • • ¡in-16n, is asymptotically normally distributed as n → ∞.