Rao distances

C.A. Micchelli, Lyle Noakes

    Research output: Contribution to journalArticlepeer-review

    7 Citations (Scopus)

    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. (C) 2003 Elsevier Inc. All rights reserved.
    Original languageEnglish
    Pages (from-to)97-115
    JournalJournal of Multivariate Analysis
    Volume92
    Issue number1
    DOIs
    Publication statusPublished - 2005

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