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Functional central limit theorems and their associated large deviation principles for products of random matrices
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  • Published: October 1987

Functional central limit theorems and their associated large deviation principles for products of random matrices

  • Joseph C. Watkins1 

Probability Theory and Related Fields volume 76, pages 133–166 (1987)Cite this article

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  • 2 Citations

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Summary

This paper establishes a functional central limit theorem for a product of random matrices. The sequence of matrices form a stationary process which is a φ-mixing. The individual matrices in the product become closer and closer to the identity matrix with longer and longer products. In addition, these perturbations from the identity matrix have mean zero. A large deviation principle for the limit process is proved.

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References

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Authors and Affiliations

  1. Department of Mathematics, University of Southern California, 90089-1113, Los Angeles, CA, USA

    Joseph C. Watkins

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  1. Joseph C. Watkins
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Watkins, J.C. Functional central limit theorems and their associated large deviation principles for products of random matrices. Probab. Th. Rel. Fields 76, 133–166 (1987). https://doi.org/10.1007/BF00319982

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  • Received: 19 November 1984

  • Revised: 28 January 1987

  • Accepted: 28 January 1987

  • Issue Date: October 1987

  • DOI: https://doi.org/10.1007/BF00319982

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Keywords

  • Stochastic Process
  • Stationary Process
  • Probability Theory
  • Identity Matrix
  • Limit Theorem
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