On Closed-Form Expressions for the Fisher-Rao Distance

The Fisher-Rao distance is the geodesic distance between probability distributions in a statistical manifold equipped with the Fisher metric, which is a natural choice of Riemannian metric on such manifolds. It has recently been applied to supervised and unsupervised problems in machine learning, in various contexts. Finding closed-form expressions for the Fisher-Rao distance is generally a non-trivial task, and those are only available for a few families of probability distributions. In this survey, we collect examples of closed-form expressions for the Fisher-Rao distance of both discrete and continuous distributions, aiming to present them in a unified and accessible language. In doing so, we also: illustrate the relation between negative multinomial distributions and the hyperbolic model, include a few new examples, and write a few more in the standard form of elliptical distributions.