Tales of Random Projections

The interplay between geometry and probability in high-dimensional spaces is an active subject of current research. Classical theorems in probability theory such as the central limit theorem and Cramer’s theorem can be viewed as providing information about certain scalar projections of high-dimensional product measures. In this talk we will describe the behavior of random projections of more general (possibly non-product) high-dimensional measures, which are of interest in diverse fields, ranging from asymptotic convex geometry to high-dimensional statistics. Although the study of (typical) projections of high-dimensional measures dates back to Borel, only recently has a theory begun to emerge, which in particular identifies the role of certain geometric assumptions that lead to better behaved projections. A particular question of interest is to identify what properties of the high-dimensional measure are captured by its lower-dimensional projections. While fluctuations of these projections have been studied over the past decade, we describe more recent work on the tail behavior of multidimensional projections, and associated conditional limit theorems. This is based on joint work with Steven Soojin Kim and Nina Gantert.