Rao distances

Charles A. Micchelli and Lyle Noakes

Journal of Multivariate Analysis, 2005, vol. 92, issue 1, 97-115

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.

Keywords: Fisher; information; Riemannian; distances (search for similar items in EconPapers)
Date: 2005
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