Fisher-Rao distance on the covariance cone

Published 29 Oct 2020 in math.ST, math.DG, and stat.TH | (2010.15861v1)

Abstract: The 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.

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