2023/10/20 by Nagaoka, Hiroshi · 2 citations
#Differential Geometry (math.DG) #FOS: Computer and information sciences #FOS: Mathematics #Information Theory (cs.IT) #Probability (math.PR) #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.2310.13237
The Fisher metric on a manifold of probability distributions is usually treated as a metric on the tangent bundle. In this paper, we focus on the metric on the cotangent bundle induced from the Fisher metric with calling it the Fisher co-metric. We show that the Fisher co-metric can be defined directly without going through the Fisher metric by establishing a natural correspondence between cotangent vectors and random variables. This definition clarifies a close relation between the Fisher co-metric and the variance/covariance of random variables, whereby the Cramér-Rao inequality is trivialized. We also discuss the monotonicity and the invariance of the Fisher co-metric with respect to Markov maps, and present a theorem characterizing the co-metric by the invariance, which can be regarded as a cotangent version of Čencov's characterization theorem for the Fisher metric. The obtained theorem can also viewed as giving a characterization of the variance/covariance.