Multivariate normal distributions parametrized as a Riemannian symmetric space (Q1582628)

The authors construct a bijection between the space \(\mathcal N\) of normal distributions on \({\mathbb{R}}^n\) and the symmetric space SL\((n+1)/\text{SO}(n+1)\). Thus \(\mathcal N\) inherits a symmetric Riemannian metric, for which the distance function is explicitely computed. Since SL\((n+1)/\text{SO}(n+1)\) is a Hadamard manifold the center of mass is defined globally. Its construction is reviewed.