A distance between multivariate normal distributions based in an embedding into the Siegel group

DOI10.1016/0047-259X(90)90026-EMaRDI QIDQ2640280zbMATH OpenOpenAlexFDO

Authors Miquel Calvo, Josep M. Oller

Publication date 1990

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(90)90026-e

zbMATH Keywords

data analysisembeddinggeodesic distancehypotheses testinginformation metricinformative geometrylower bound for the Rao distancemanifold of multivariate normal densitiesmanifold of positive definite matricesprobabilistic modelsSiegel geometrySiegel metric

Mathematics Subject Classification ID

Global submanifolds (53C40) Statistical aspects of information-theoretic topics (62B10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Review text

The authors define an embedding of the manifold of multivariate normal densities with the informative geometry into the manifold of positive definite matrices with the Siegel metric. In this way they obtain a lower bound for the Rao distance. They give applications to hypotheses testing and data analysis based on this new distance.

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Cited in

(21)

• On the geometry of generalized Gaussian distributions
• Generalized divergence measures: Information matrices, amount of information, asymptotic distribution, and its applications to test statistical hypotheses
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• On bounds for the Fisher-Rao distance between multivariate normal distributions
• On closed-form expressions for the Fisher-Rao distance
• f-divergence approximation for Gaussian mixtures
• Statistics on the manifold of multivariate normal distributions: theory and application to diffusion tensor MRI processing

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