The Fisher-Rao geometry of beta distributions applied to the study of canonical moments

Alice Le Brigant (1) , Stéphane Puechmorel (1)

1 ENAC - Ecole Nationale de l'Aviation Civile

This paper studies the Fisher-Rao geometry on the parameter space of beta distributions. We derive the geodesic equations and the sectional curvature, and prove that it is negative. This leads to uniqueness for the Riemannian centroid in that space. We use this Riemannian structure to study canonical moments, an intrinsic representation of the moments of a probability distribution. Drawing on the fact that a uniform distribution in the regular moment space corresponds to a product of beta distributions in the canonical moment space, we propose a mapping from the space of canonical moments to the product beta manifold, allowing us to use the Fisher-Rao geometry of beta distributions to compare and analyze canonical moments.

Domaines: Statistiques [math.ST]; Géométrie différentielle [math.DG]

Alice Le Brigant, Stéphane Puechmorel. The Fisher-Rao geometry of beta distributions applied to the study of canonical moments. 2019. ⟨hal-02100897⟩