Upper-bound on the Fisher-Rao distance between multivariate Gaussian measures by the KL-divergence Let $\mu$ and $\nu$ be two multivariate Gaussian measures on $\mathbb{R}^d$ with non-singular covariance matrices.  Can the Fisher-Rao distance $d(\mu,\nu)$ computed on the information manifold of non-generated $d$-dimensional Gaussian measures with Fisher-Rao metric, be bounded by the (symmetrized) KL divergence/relative-entropy between $\mu$ and $\nu$?
 A: Since relative entropy behaves locally like a squared distance, we might expect the squared Fisher-Rao metric to be comparable to the symmetrized KL divergence.  This is indeed the case.
Let $d_F$ denote the Fisher-Rao metric on the manifold of non-degenerate multivariate Gaussians, and let $D(\mu,\nu):= D_{KL}(\mu\|\nu) + D_{KL}(\nu\|\mu)$ denote the symmetrized KL divergence between measures $\mu,\nu$.
Claim: For multivariate Gaussian measures $\mu_1,\mu_2$ with nonsingular covariance matrices, we have
$$
d_F(\mu_1,\mu_2)^2 \leq 2 D(\mu_1,\mu_2).
$$
Proof: By the triangle inequality, we have
\begin{align*}
d_F\big(N(\theta_1,\Sigma_1),N(\theta_2,\Sigma_2)\big)^2 
&\leq \big(d_F(N(\theta_1,\Sigma_1),N(\theta_1,\Sigma_2) )+d_F(N(\theta_1,\Sigma_2),N(\theta_2,\Sigma_2) ) \big)^2\\
&\leq 2 d_F\big(N(\theta_1,\Sigma_1),N(\theta_1,\Sigma_2)\big)^2  + 2 d_F\big(N(\theta_1,\Sigma_2),N(\theta_2,\Sigma_2)\big)^2 
\end{align*}
On the submanifold of Gaussians with common mean, the (squared) Fisher-Rao distance is equal to
$$
d_F\big(N(\theta_1,\Sigma_1),N(\theta_1,\Sigma_2)\big)^2 = \frac{1}{2}\sum_{i}(\log \lambda_i)^2,
$$
where $(\lambda_i)$ denote the eigenvalues of the matrix $\Sigma_2^{-1/2}\Sigma_1\Sigma_2^{-1/2}$.  On the submanifold of Gaussians with common covariance, the (squared) Fisher-Rao distance is equal to
$$
d_F\big(N(\theta_1,\Sigma_2),N(\theta_2,\Sigma_2)\big)^2 = (\theta_1-\theta_2)^T \Sigma_2^{-1} (\theta_1-\theta_2).
$$
The symmetrized KL divergence is given by
$$
D(N(\theta_1,\Sigma_1),N(\theta_2,\Sigma_2)) = \frac{1}{2}\sum_{i}\left(\lambda_i +\frac{1}{\lambda_i}- 2 \right) +\frac{1}{2} (\theta_1-\theta_2)^T (\Sigma_1^{-1}+\Sigma_2^{-1}) (\theta_1-\theta_2).
$$
Now, the claim follows on account of the inequality
$$
(\log x)^2 \leq x + \frac{1}{x}-2, ~~~x>0.
$$
Remark: The closed-form expressions for the special cases of the Fisher-Rao metric used above can be found in Section 2.1 (and references therein) of:
Pinele, Julianna, João E. Strapasson, and Sueli IR Costa. "The Fisher-Rao distance between multivariate normal distributions: Special cases, bounds and applications." Entropy 22.4 (2020): 404.
