A Central Limit Theorem For Random Variables Under A Constraint

Abstract

We consider vectors chosen randomly from high-dimensional hypersurfaces of the form $\{x\in\mathbb{R}^n: \sum_{j=1}^n V_j(x_j)=an\}$. These in general asymmetric surfaces generalize classical spheres and include unbounded and disconnected surfaces. We show that under mild assumptions as $n\to\infty$, any weighted sum of the random coordinates is asymptotically Gaussian, provided that no weight dominates. An explicit reduction in the variance compared to the unconstrained case is observed. We also study a model with penalization of deviations from the constraint, interpolating between the unconstrained and the constrained case. Our approach involves an explicit representation of the characteristic function of the constrained random variables in terms of independent random variables.