The L^p -Fisher-Rao metric and Amari-Cencov -Connections

We introduce a family of Finsler metrics, called the L-p-Fisher-Rao metrics F-p, for p is an element of (1,infinity), which generalizes the classical Fisher-Rao metric F-2, both on the space of densities Dens(+) (M) and probability densities Prob(M). We then study their relations to the Amari-Cencov alpha-connections del(alpha) from information geometry: on Dens(+) (M), the geodesic equations of F-p and del((alpha)) coincide, for p = 2/(1-alpha). Both are pullbacks of canonical constructions on L-p(M), in which geodesics are simply straight lines. In particular, this gives a new variational interpretation of alpha-geodesics as being energy minimizing curves. On Prob(M), the F-p and del((alpha)) geodesics can still be thought as pullbacks of natural operations on the unit sphere in L-p(M), but in this case they no longer coincide unless p = 2. Using this transformation, we solve the geodesic equation of the alpha-connection by showing that the geodesic are pullbacks of projections of straight lines onto the unit sphere, and they always cease to exists after finite time when they leave the positive part of the sphere. This unveils the geometric structure of solutions to the generalized Proudman-Johnson equations, and generalizes them to higher dimensions. In addition, we calculate the associate tensors of F-p, and study their relation to del((alpha)).