Kullback-Leibler divergence for the Fréchet extreme-value distribution

03/23/2023

∙

by   Jean-Christophe Pain, et al.

∙

0

∙

share

We derive a closed-form solution for the Kullback-Leibler divergence between two Fréchet extreme-value distributions. The resulting expression is rather simple and involves the Euler-Mascheroni constant.