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arXiv · 1409.8531

Convergence of large deviation estimators

Christian M. Rohwer·Florian Angeletti·Hugo Touchette
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Abstract

We study the convergence of statistical estimators used in the estimation of large deviation functions describing the fluctuations of equilibrium, nonequilibrium, and manmade stochastic systems. We give conditions for the convergence of these estimators with sample size, based on the boundedness or unboundedness of the quantity sampled, and discuss how statistical errors should be defined in different parts of the convergence region. Our results shed light on previous reports of 'phase transitions' in the statistics of free energy estimators and establish a general framework for reliably estimating large deviation functions from simulation and experimental data and identifying parameter regions where this estimation converges.

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Christian M. Rohwer, Florian Angeletti, Hugo Touchette. 2015-10-29. Convergence of large deviation estimators. https://doi.org/10.1103/physreve.92.052104

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