It is an open problem to determine for which maps f, any compact invar
iant set K carries an ergodic invariant measure of the same Hausdorff
dimension as K. If f is conformal and expanding, then it is a known co
nsequence of the thermodynamic formalism that such measures do exist.
(We give a proof here under minimal smoothness assumptions.) If f has
the form f(x(1), x(2)) = (f(1)(x(1)), f(2)(x(2))), where f(1) and f(2)
are conformal and expanding maps satisfying inf \Df(1)\ greater than
or equal to sup \Df(2)\, then for a large class of invariant sets K, w
e show that ergodic invariant measures of dimension arbitrarily close
to the dimension of K do exist. The proof is based on approximating K
by self-affine sets.