Global Geometry of Bayesian Statistics

Abstract

In the previous work of the author, a non-trivial symmetry of the relative entropy in the information geometry of normal distributions was discovered. The same symmetry also appears in the symplectic/contact geometry of Hilbert modular cusps. Further, it was observed that a contact Hamiltonian flow presents a certain Bayesian inference on normal distributions. In this paper, we describe Bayesian statistics and the information geometry in the language of current geometry in order to spread our interest in statistics through general geometers and topologists. Then, we foliate the space of multivariate normal distributions by symplectic leaves to generalize the above result of the author. This foliation arises from the Cholesky decomposition of the covariance matrices.