Authors:Rolando Cavazos-Cadena and Daniel Hernández-Hernández
This note concerns the asymptotic behavior of a Markov process obtained from normalized products of independent and identically
distributed random matrices. The weak convergence of this process is proved, as well as the law of large numbers and the central
Let us consider a triangular array of random vectors (X (n) j; Y (n) j), n = 1;2;: : :, 1 5 j 5 kn, such that the first coordinates X (n) j take their values in a non-compact Lie group and the second coordinates Y (n) j in a compact group. Let the random vectors (X (n) j; Y (n) j) be independent for fixed n, but we do not assume any (independence type) condition about the relation between the components of these vectors. We show under fairly general conditions that if both random products Sn = kn Q j=1 X (n) j and Tn = kn Q j=1 Y (n) j have a limit distribution, then also the random vectors (Sn; Tn) converge in distribution as n !1 . Moreover, the non-compact and compact coordinates of a random vector with this limit distribution are independent.