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Rao distances

Author

Listed:
  • A. Micchelli, Charles
  • Noakes, Lyle

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.

Suggested Citation

  • A. Micchelli, Charles & Noakes, Lyle, 2005. "Rao distances," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 97-115, January.
    • Handle: RePEc:eee:jmvana:v:92:y:2005:i:1:p:97-115
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    References listed on IDEAS

    as
    1. Berkane, Maia & Oden, Kevin & Bentler, Peter M., 1997. "Geodesic Estimation in Elliptical Distributions," Journal of Multivariate Analysis, Elsevier, vol. 63(1), pages 35-46, October.
    2. Burbea, Jacob & Rao, C. Radhakrishna, 1982. "Entropy differential metric, distance and divergence measures in probability spaces: A unified approach," Journal of Multivariate Analysis, Elsevier, vol. 12(4), pages 575-596, December.
    3. Lovric, Miroslav & Min-Oo, Maung & Ruh, Ernst A., 2000. "Multivariate Normal Distributions Parametrized as a Riemannian Symmetric Space," Journal of Multivariate Analysis, Elsevier, vol. 74(1), pages 36-48, July.
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