Abstract:
The aim of the present paper is to study the limit distribution for the complete group of triangular matrices with non-negative elements on the diagonal.
It is shown, that the distribution of the properly normalized product Gn converges weakly to the distribution of Wl, where Wl is the triangular matrix elements of which are some functionals of an l-dimensional Wiener process.
An explicit form of the probability density is obtained in the case of random matrices 2×2. The probability density of the maximum of some stationary process is also obtained.
Citation:
L. A. Kalenskiǐ, “Limit theorems for products of independent triangular matrices”, Teor. Veroyatnost. i Primenen., 22:1 (1977), 164–169; Theory Probab. Appl., 22:1 (1977), 160–166
This publication is cited in the following 4 articles:
A. Grincevičius, “On the joint limit distribution of normalized elements of products of random triangular matrices of the third order”, Lith Math J, 32:4 (1992), 371
A. Grincevičius, “Transformations preserving a Wiener measure”, Lith Math J, 22:3 (1982), 255
V. L. Girko, “Limit theorems for products of independent random matrices with positive elements”, Theory Probab. Appl., 27:4 (1983), 837–844
G. Š. Lev, “On the distribution of the absorption moment for semimarkov multiplication process”, Theory Probab. Appl., 24:4 (1980), 876–882