Stability of block-triangular stationary random matrices

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 Lq-stability will also be briefly described. c 2008 Elsevier B.V. All rights reserved.

• Type: Journal
• Year: 2008
• Where: SCL
• Authors: László Gerencsér, György Michaletzky, Zsanett Orlovits
• Keywords: Certain Technical Conditions, SCL 2008, Stationary Random Sequence, Top-lyapunov Exponents