Kullback-Leibler divergence for the Fréchet extreme-value distribution

2023/03/23 by Jean‐Christophe Pain, Pain, Jean-Christophe
Economics, Econometrics and Finance · Mathematics · #Advanced Statistical Methods and Models #FOS: Mathematics #FOS: Physical sciences #Financial Risk and Volatility Modeling #Mathematical Physics (math-ph) #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.2303.13153

openalex publication_date 2023/03/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

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