Riemannian Holonomy Groups of Statistical Manifolds

Normal distribution manifolds play essential roles in the theory of information geometry, so do holonomy groups in classification of Riemannian manifolds. After some necessary preliminaries on information geometry and holonomy groups, it is presented that the corresponding Riemannian holonomy group of the $d$-dimensional normal distribution is $SO\left(\frac{d(d+3)}{2}\right)$, for all $d\in \mathbb{N}$. As a generalization on exponential family, a list of holonomy groups follows.