An asymptotic representation for products of random matrices

C. C. Heyde

Stochastic Processes and their Applications, 1985, vol. 20, issue 2, 307-314

Abstract: Let {Xk} be a stationary ergodic sequence of nonnegative matrices. It is shown in this paper that, under mild additional conditions, the logarithm of the i, jth element of Xt···X1 is well approximated by a sum of t random variables from a stationary ergodic sequence. This representation is very useful for the study of limit behaviour of products of random matrices. An iterated logarithm result and an estimation result of use in the theory of demographic population projections are derived as corollaries.

Keywords: products; of; random; matrices; sums; of; random; variables (search for similar items in EconPapers)
Date: 1985
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