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.

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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
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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