Geodesics of multivariate normal distributions and a Toda lattice type Lax pair

We study geodesics of multivariate normal distributions with respect to the Fisher metric. First it will be shown that a computational formula for geodesics can be understood using the block Cholesky decomposition and a natural Riemannian submersion. Next a mid point algorithm for geodesics will be obtained. And finally a new Toda lattice type Lax pair will be derived from the geodesic and the block Cholesky decomposition.