<Error><Code>InvalidAuthenticationInfo</Code><Message>Authentication information is not given in the correct format. Check the value of Authorization header.wJ code example

Example: 400 (Authentication information is not given in the correct format. Check the value of Authorization header.)

For people reaching this page and wondering why you get this error
even though you are using a Shared Access Signature URL, 
then you most likely are sending YOUR APP token to Azure.
Make sure to NOT include the Authorization header in this case.