| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 750401 | Systems & Control Letters | 2008 | 6 Pages |
Abstract
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 LqLq-stability will also be briefly described.
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Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
László Gerencsér, György Michaletzky, Zsanett Orlovits,