Estimation of the Pareto and related distributions – A reference-intrinsic approach

We study two Bayesian (Reference Intrinsic and Jeffreys prior), frequentist (MLE PWM) approaches the nonparametric Hill estimator for Pareto related distributions. Three of these are compared in a simulation all four to investigate how much equity risk capital banks subject Basel II banking regulations must hold. The Reference approach, which is invariant under one-to-one transformations data parameter, performs better when fitting generalized distribution simulated from competitive case on requirements.