# Stability of block-triangular stationary random matrices

Gerencsér, László and Michaletzky, György and Orlovits, Zsanett
(2008)
*Stability of block-triangular stationary random matrices.*
Systems and Control Letters, 57.
pp. 620-625.

## Abstract

The objective of this note is to prove, under certain technical conditions, that the top-Lyapunov exponent of a strictly stationary random sequence of block-triangular matrices is equal to the maximum of the top-Lyapunov exponents of its diagonal blocks. This study is partially motivated by a basic technical problem in the identification of GARCH processes. A recent extension of the above inheritance theorem in the context of L_q-stability will be also briefly described.

Item Type: | ISI Article |
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Uncontrolled Keywords: | Product of random matrices; Lyapunov exponents; GARCH processes |

Subjects: | Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány |

Depositing User: | Eszter Nagy |

Date Deposited: | 11 Dec 2012 15:31 |

Last Modified: | 11 Dec 2012 15:31 |

URI: | http://eprints.sztaki.hu/id/eprint/5429 |

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