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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1977 Volume 22, Issue 1, Pages 164–169 (Mi tvp3170)

This article is cited 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


 English version:
Theory of Probability and its Applications, 1977, 22:1, 160–166

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