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Kullback-Leibler divergence for the Fréchet extreme-value distribution

Published 23 Mar 2023 in math.ST, math-ph, math.MP, and stat.TH | (2303.13153v2)

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.

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Authors (1)

  1. Jean-Christophe Pain 

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