Edgeworth expansion and large deviations for the coefficients of products of positive random matrices

• Main Authors: Xiao, Hui, Grama, Ion, Liu, Quansheng
• Format: Journal Article
• Language: English
• Published: 07.09.2022
• Subjects: Mathematics - Probability
• DOI: 10.48550/arxiv.2209.03158

Consider the matrix products $G_n: = g_n \ldots g_1$, where $(g_{n})_{n\geq 1}$ is a sequence of independent and identically distributed positive random $d\times d$ matrices. Under the optimal third moment condition, we first establish a Berry-Esseen theorem and an Edgeworth expansion for the $(i,j)$-th entry $G_n^{i,j}$ of the matrix $G_n$, where $1 \leq i, j \leq d$. Using the Edgeworth expansion for $G_n^{i,j}$ under the changed probability measure, we then prove precise upper and lower large deviation asymptotics for the entries $G_n^{i,j}$ subject to an exponential moment assumption. As applications, we deduce local limit theorems with large deviations for $G_n^{i,j}$ and upper and lower large deviations bounds for the spectral radius $\rho(G_n)$ of $G_n$. A byproduct of our approach is the local limit theorem for $G_n^{i,j}$ under the optimal second moment condition. In the proofs we develop a spectral gap theory for the norm cocycle and for the coefficients, which is of independent interest.