## The Annals of Probability

### Limit theorems for products of positive random matrices

H. Hennion

#### Abstract

Let $S$ be the set of $q \times q$ matrices with positive entries, such that each column and each row contains a strictly positive element, and denote by $S^\circ$ the subset of these matrices, all entries of which are strictly positive. Consider a random ergodic sequence $(X_n)_{n \geq1}$ in $S$. The aim of this paper is to describe the asymptotic behavior of the random products $X^{(n)} =X_n \ldots X _1, n\geq 1$ under the main hypothesis $P(\Bigcup_{n\geq 1}[X^{(n)}\in S^\circ])>0$. We first study the behavior “in direction” of row and column vectors of $X^{(n)}$. Then, adding a moment condition, we prove a law of large numbers for the entries and lengths of these vectors and also for the spectral radius of $X^{(n)}$ . Under the mixing hypotheses that are usual in the case of sums of real random variables, we get a central limit theorem for the previous quantities. The variance of the Gaussian limit law is strictly positive except when $(X^{(n)})_{n\geq 1}$ is tight. This tightness property is fully studied when the $X_n, n\geq 1$, are independent.

#### Article information

Source
Ann. Probab. Volume 25, Number 4 (1997), 1545-1587.

Dates
First available: 7 June 2002

Permanent link to this document
http://projecteuclid.org/euclid.aop/1023481103

Mathematical Reviews number (MathSciNet)
MR1487428

Digital Object Identifier
doi:10.1214/aop/1023481103

Zentralblatt MATH identifier
0903.60027

#### Citation

Hennion, H. Limit theorems for products of positive random matrices. The Annals of Probability 25 (1997), no. 4, 1545--1587. doi:10.1214/aop/1023481103. http://projecteuclid.org/euclid.aop/1023481103.

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