Skip to main content
2 of 2
removed capitals from title
YCor
  • 63.9k
  • 5
  • 187
  • 286

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 $\nu$?