Rao distances

Rao distances

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.

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Bibliographische Detailangaben
Veröffentlicht in:Journal of multivariate analysis 2005, Vol.92 (1), p.97-115
Hauptverfasser: A. Micchelli, Charles, Noakes, Lyle
Format: Artikel
Sprache:eng
Schlagworte:
Exact sciences and technology
Fisher information
Fisher information Riemannian distances
Mathematical analysis
Mathematical models
Mathematics
Multivariate analysis
Numerical analysis
Numerical analysis. Scientific computation
Numerical approximation
Probability
Probability and statistics
Riemannian distances
Sciences and techniques of general use
Statistics
Studies
Sufficiency and information
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Beschreibung
Zusammenfassung: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.
ISSN:0047-259X
1095-7243
DOI:10.1016/S0047-259X(03)00132-5