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28 March 2024
 
  » arxiv » 2010.15861

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Fisher-Rao distance on the covariance cone
Joseph Wells ; Mary Cook ; Karleigh Pine ; Benjamin D. Robinson ;
Date 29 Oct 2020
AbstractThe Fisher-Rao geodesic distance on the statistical manifold consisting of zero-mean p-dimensional multivariate Gaussians appears without proof in several places (such as Steven Smith’s "Covariance, Subspace, and Intrinsic Cramer-Rao Bounds"). In this paper, we give a proof using basic Riemannian geometry.
Source arXiv, 2010.15861
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