Rao distances

Authors:
Charles A. Micchelli;Lyle Noakes
Affiliations:
Department of Mathematics and Statistics, State University of New York at Albany, Albany, New York;School of Mathematics and Statistics, The University of Western Australia, Nedlands, WA 6907, Australia
Venue:
Journal of Multivariate Analysis
Year:
2005

Citing 3
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Abstract

We determine Riemannian distances between a large class of multivariate probability densities with the same mean, where the Riemannian metric is induced by a weighted Fisher information matrix. We reduce the evaluation of distances to quadrature and in some cases give closed form expressions.