Concentration bounds for entropy estimation of one-dimensional Gibbs measures

DOI10.1088/0951-7715/24/8/011MaRDI QIDQ3173389zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 10 October 2011

Published in Nonlinearity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.1816

zbMATH Keywords

concentration inequalitiesfluctuation boundsplug-in estimator

Mathematics Subject Classification ID

Dynamical systems and their relations with probability theory and stochastic processes (37A50) Thermodynamic formalism, variational principles, equilibrium states for dynamical systems (37D35) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

Abstract: We obtain bounds on fluctuations of two entropy estimators for a class of one-dimensional Gibbs measures on the full shift. They are the consequence of a general exponential inequality for Lipschitz functions of n variables. The first estimator is based on empirical frequencies of blocks scaling logarithmically with the sample length. The second one is based on the first appearance of blocks within typical samples.

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(7)

• Concentration inequalities and rates of convergence of the ergodic theorem for countable shifts with Gibbs measures
• Fluctuation bounds for entropy production estimators in Gibbs measures
• Entropy bounds for Gibbs measures with non-Gaussian tails
• Gaussian concentration bounds for stochastic chains of unbounded memory
• Gaussian concentration bound for potentials satisfying Walters condition with subexponential continuity rates
• Estimating entropy rate from censored symbolic time series: A test for time-irreversibility
• Fluctuations of observables in dynamical systems: from limit theorems to concentration inequalities

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