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Preprints, Working Papers, ... (Preprint) Year : 2023

Limit theorems for iid products of positive matrices

Abstract

We study stochastic properties of the norm cocycle associated with iid products of positive matrices. We obtain the almost sure invariance principle (ASIP) with rate o(n 1/p) under the optimal condition of a moment or order p > 2 and the Berry-Esseen theorem with rate O(1/ √ n) under the optimal condition of a moment of order 3. The results are also valid for the matrix norm. For the matrix coefficients, we also have the ASIP but we obtain only partial results for the Berry-Esseen theorem. The proofs make use of coupling coefficients that surprisingly decay exponentially fast to 0 while there is only a polynomial decay in the case of invertible matrices. All the results are actually valid in the context of iid products of matrices leaving invariant a suitable cone.
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Dates and versions

hal-03923713 , version 1 (04-01-2023)
hal-03923713 , version 2 (26-10-2023)

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C Cuny, J Dedecker, F Merlevède. Limit theorems for iid products of positive matrices. 2023. ⟨hal-03923713v1⟩
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