Kullback-Leibler divergence for the Fr\'echet extreme-value distribution
Statistics Theory
2023-03-28 v2 Mathematical Physics
math.MP
Statistics Theory
Abstract
We derive a closed-form solution for the Kullback-Leibler divergence between two Fr\'echet extreme-value distributions. The resulting expression is rather simple and involves the Euler-Mascheroni constant.
Cite
@article{arxiv.2303.13153,
title = {Kullback-Leibler divergence for the Fr\'echet extreme-value distribution},
author = {Jean-Christophe Pain},
journal= {arXiv preprint arXiv:2303.13153},
year = {2023}
}