Computing the Rao distance for gamma distributions

Authors:
F. Reverter;J. M. Oller
Affiliations:
Department of Statistics, University of Barcelona, Diagonal, 645, 08028 Barcelona, Spain;Department of Statistics, University of Barcelona, Diagonal, 645, 08028 Barcelona, Spain
Venue:
Journal of Computational and Applied Mathematics
Year:
2003

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Abstract

This paper deals with the calculation of the Rao distance between Gamma distributions, which is the Riemannian distance induced by the Fisher information matrix on the Gamma statistical model. In this case no closed form expression of the Rao distance is available and a numerical approach is thus necessary to compute the distance. A computer program based on a simple shooting algorithm is presented and discussed.