A Tractable Pseudo-Metric on Non-Parametric Exponential Statistical Manifolds via SPD Geometry
Computing distances between probability distributions on non-parametric statistical manifolds is fundamentally intractable. The geodesicequations live in infinite-dimensional function spaces and admit no general closed-form solution. We develop a two-stage framework that produces a computable pseudo-metric on the Pistone--Sempi exponential manifold and apply it to two-sample hypothesis testing. In the first stage, an arbitrary distribution is projected onto a chosen finite-dimensional parametric exponential family via moment-matching. This projection is many-to-one, so the resulting object is a pseudo-metric rather than a true metric. In the second stage, the parametric family is embedded into the manifold of symmetric positive definite matrices via the expected outer product of the augmented sufficient statistics vector. The embedding is a smooth diffeomorphism. The induced pullback metric differs from the Fisher--Rao metric by an explicit correction involving third-order joint cumulants of the sufficient statistics; the correction vanishes for the Gaussian family, recovering the Calvo--Oller embedding as a special case. The affine-invariant Riemannian metric on the ambient matrix manifold then provides a closed-form lower bound for the pseudo-metric, computable directly from sample moments. Applied to two-sample testing, the framework produces a test statistic that is affine-invariant and requires no continuous tuning parameters such as a bandwidth. The choice of target exponential family determines which moments are compared. Critical values are obtained by permutation.