Fisher-Rao geometry of equivalent Gaussian measures on infinite-dimensional Hilbert spaces

Abstract: This work presents an explicit description of the Fisher-Rao Riemannian metric on the Hilbert manifold of equivalent centered Gaussian measures on an infinite-dimensional Hilbert space. We show that the corresponding quantities from the finite-dimensional setting of Gaussian densities on Euclidean space, including the Riemannian metric, Levi-Civita connection, curvature, geodesic curve, and Riemannian distance, when properly formulated, directly generalize to this setting. Furthermore, we discuss the connection with the Riemannian geometry of positive definite unitized Hilbert-Schmidt operators on Hilbert space, which can be viewed as a regularized version of the current setting.