Entropy and a generalisation of `Poincare's Observation'

Consider a sphere of radius root(n) 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.