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A central limit theorem for normalized products of random matrices

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Abstract

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.

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Author information

Authors and Affiliations

  1. Departamento de Estadística y Cálculo, Universidad Autónoma Agraria Antonio Narro Buenavista, Saltillo COAH, 25315, México

    Rolando Cavazos-Cadena

  2. Centro de Investigación en Matemáticas, Apartado Postal 402, Guanajuato, GTO, 36000, México

    Daniel Hernández-Hernández

Authors
  1. Rolando Cavazos-Cadena
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  2. Daniel Hernández-Hernández
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Corresponding author

Correspondence to Rolando Cavazos-Cadena.

Additional information

Communicated by István Berkes

This work was supported by the PSF Organization under Grant No. 2005-7-02, and by the Consejo Nacional de Ciencia y Tecnología under Grants 25357 and 61423.

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Cavazos-Cadena, R., Hernández-Hernández, D. A central limit theorem for normalized products of random matrices. Period Math Hung 56, 183–211 (2008). https://doi.org/10.1007/s10998-008-6183-3

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  • DOI: https://doi.org/10.1007/s10998-008-6183-3

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