A Hall of Statistical Mirrors

Abstract: The primary objects of study in information geometry are statistical manifolds, which are parametrized families of probability measures, induced with the Fisher-Rao metric and a pair of torsion-free conjugate connections. In recent work, the authors considered parametrized probability distributions as partially-flat statistical manifolds admitting torsion and showed that there is a complex to symplectic duality on the tangent bundles of such manifolds, based on the dualistic geometry of the underlying manifold. In this paper, we explore this correspondence further in the context of Hessian manifolds, in which case the conjugate connections are both curvature- and torsion-free, and the associated dual pair of spaces are K\"ahler manifolds. We focus on several key examples and their geometric features. In particular, we show that the moduli space of univariate normal distributions gives rise to a correspondence between the Siegel half-space and the Siegel-Jacobi space, which are spaces that appear in the context of automorphic forms.