The Fisher metric as a metric on the cotangent bundle

The Fisher metric on a manifold of probability distributions is usually treated as a metric on the tangent bundle. In this paper, we focus on the metric on the cotangent bundle induced from the Fisher metric with calling it the Fisher co-metric. We show that the Fisher co-metric can be defined directly without going through the Fisher metric by establishing a natural correspondence between cotangent vectors and random variables. This definition clarifies a close relation between the Fisher co-metric and the variance/covariance of random variables, whereby the Cram\'{e}r-Rao inequality is trivialized. We also discuss the monotonicity and the invariance of the Fisher co-metric with respect to Markov maps, and present a theorem characterizing the co-metric by the invariance, which can be regarded as a cotangent version of \v{C}encov's characterization theorem for the Fisher metric. The obtained theorem can also viewed as giving a characterization of the variance/covariance.