Abstract:
We obtain necessary and sufficient conditions for the distributions of some functionals of the product of independent random matrices to converge to the normal law. The method of proof is based on a representation of Borel functions of independent random variables as a sum of uncorrelated random variables.
Citation:
V. L. Girko, “Limit theorems for products of independent random matrices with positive elements”, Teor. Veroyatnost. i Primenen., 27:4 (1982), 777–783; Theory Probab. Appl., 27:4 (1983), 837–844
\Bibitem{Gir82}
\by V.~L.~Girko
\paper Limit theorems for products of independent random matrices with positive elements
\jour Teor. Veroyatnost. i Primenen.
\yr 1982
\vol 27
\issue 4
\pages 777--783
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\transl
\jour Theory Probab. Appl.
\yr 1983
\vol 27
\issue 4
\pages 837--844
\crossref{https://doi.org/10.1137/1127092}
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Linking options:
https://www.mathnet.ru/eng/tvp2433
https://www.mathnet.ru/eng/tvp/v27/i4/p777
This publication is cited in the following 3 articles:
C. C. Heyde, Wiley StatsRef: Statistics Reference Online, 2014
V. L. Girko, A. I. Vladimirova, “Spectral analysis of stochastic recurrence systems of growing dimension under G-condition. Canonical equation K 91”, Random Operators and Stochastic Equations, 17:3 (2009)
C. C. Heyde, Encyclopedia of Statistical Sciences, 2005