Precise large deviation asymptotics for products of random matrices
Probability
2019-07-05 v1
Abstract
Let be a sequence of independent identically distributed real random matrices with Lyapunov exponent . For any starting point on the unit sphere in , we deal with the norm , where . The goal of this paper is to establish precise asymptotics for large deviation probabilities , where is fixed and is vanishing as . We study both invertible matrices and positive matrices and give analogous results for the couple with target functions, where . As applications we improve previous results on the large deviation principle for the matrix norm and obtain a precise local limit theorem with large deviations.
Cite
@article{arxiv.1907.02456,
title = {Precise large deviation asymptotics for products of random matrices},
author = {Hui Xiao and Ion Grama and Quansheng Liu},
journal= {arXiv preprint arXiv:1907.02456},
year = {2019}
}