On the top-Lyapunov exponent of block-triangular stationary random matrices

Gerencsér, László and Michaletzky, György and Orlovits, Zsanett (2007) On the top-Lyapunov exponent of block-triangular stationary random matrices. In: ECC 2007. Proceedings of the European control conference. Kos, 2007..

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Abstract

The objective of this note is to prove a useful, non-trivial technical lemma that is needed in the statistical analysis of linear stochastic systems with random system matrices. This study is motivated by the study of the quasi-maximum-likelihood identification method of certain stochastic volatility processes, called the GARCH (Generalized Autoregressive Conditional Heteroscedasticity) processes.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: GARCH processes; identification; random matrix product; Lyapunov-exponents.
Subjects: Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
Depositing User: Eszter Nagy
Date Deposited: 11 Dec 2012 15:29
Last Modified: 11 Dec 2012 15:29
URI: http://eprints.sztaki.hu/id/eprint/4991

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