  We introduce a family of Finsler metrics, called the $L^p$-Fisher-Rao metrics
$F_p$, for $p\in (1,\infty)$, which generalizes the classical Fisher-Rao metric
$F_2$, both on the space of densities Dens$_+(M)$ and probability densities
Prob$(M)$. We then study their relations to the Amari-\u{C}encov
$\alpha$-connections $\nabla^{(\alpha)}$ from information geometry: on
Dens$_+(M)$, the geodesic equations of $F_p$ and $\nabla^{(\alpha)}$ coincide,
for $p = 2/(1-\alpha)$. Both are pullbacks of canonical constructions on
$L^p(M)$, in which geodesics are simply straight lines. In particular, this
gives a new variational interpretation of $\alpha$-geodesics as being energy
minimizing curves. On Prob$(M)$, the $F_p$ and $\nabla^{(\alpha)}$ geodesics
can still be thought as pullbacks of natural operations on the unit sphere in
$L^p(M)$, but in this case they no longer coincide unless $p=2$. Using this
transformation, we solve the geodesic equation of the $\alpha$-connection by
showing that the geodesic are pullbacks of projections of straight lines onto
the unit sphere, and they always cease to exists after finite time when they
leave the positive part of the sphere. This unveils the geometric structure of
solutions to the generalized Proudman-Johnson equations, and generalizes them
to higher dimensions. In addition, we calculate the associate tensors of $F_p$,
and study their relation to $\nabla^{(\alpha)}$.
