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Teoriya Veroyatnostei i ee Primeneniya, 1977, Volume 22, Issue 1, Pages 164–169
(Mi tvp3170)
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This article is cited in 4 scientific papers (total in 4 papers)
Short Communications
Limit theorems for products of independent triangular matrices
L. A. Kalenskiĭ Moscow
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 $G_n$ converges weakly to the distribution of $W^l$, where $W^l$ 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 $2\times 2$. The probability density of the maximum of some stationary process is also obtained.
Received: 09.07.1974 Revised: 07.06.1976
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
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https://www.mathnet.ru/eng/tvp3170 https://www.mathnet.ru/eng/tvp/v22/i1/p164
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