Consider a sphere of radius rootn in n dimensions, and consider X, a random variable uniformly distributed on its surface. Poincare's Observation states that for large n, the distribution of the first k coordinates of X is close in total variation distance to the standard normal N(0, I-k). In this paper we consider a larger family of manifolds, and X taking a more general distribution on the surfaces. We establish a bound in the stronger Kullback-Leibler sense of relative entropy, and discuss its sharpness, providing a necessary condition for convergence in this sense. We show how our results imply the equivalence of ensembles for a wider class of test functions than is standard. We also deduce results of de Finetti type, concerning a generalisation of the idea. of orthogonal invariance.
|Translated title of the contribution||Entropy and a generalization of Poincare's observation|
|Pages (from-to)||375 - 384|
|Number of pages||10|
|Journal||Mathematical Proceedings of the Cambridge Philosophical Society|
|Publication status||Published - Sep 2003|
Bibliographical notePublisher: Cambridge Univ Press
Other identifier: ISD number 725QC