Products of random matrices

We derive analytic expressions for infinite products of random 2 x 2 matrices. The determinant of the target matrix is log-normally distributed, whereas the remainder is a surprisingly complicated function of a parameter characterizing the norm of the matrix and a parameter characterizing its skewne...

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Veröffentlicht in:Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics Statistical physics, plasmas, fluids, and related interdisciplinary topics, 2002-12, Vol.66 (6 Pt 2), p.066124, Article 066124
Hauptverfasser: Jackson, A D, Lautrup, B, Johansen, P, Nielsen, M
Format: Artikel
Sprache:eng
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Zusammenfassung:We derive analytic expressions for infinite products of random 2 x 2 matrices. The determinant of the target matrix is log-normally distributed, whereas the remainder is a surprisingly complicated function of a parameter characterizing the norm of the matrix and a parameter characterizing its skewness. The distribution may have importance as an uncommitted prior in statistical image analysis.
ISSN:1539-3755
1063-651X
1095-3787
DOI:10.1103/PhysRevE.66.066124