On the sampling performance of an improved Stein inequality restricted estimator

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Original languageEnglish
Pages (from-to)181-187
Journal / PublicationAustralian and New Zealand Journal of Statistics
Issue number2
Publication statusPublished - Jun 1998


Using the Stein (1964) variance estimator, this paper defines a modified Stein inequality constrained estimator and derives its exact risk under quadratic loss. Numerical evaluations show that over a wide range of the parameter space, the modified Stein inequality constrained estimator has lower risk than the traditional Stein inequality constrained estimator introduced by Judge et al. (1984). © Australian Statistical Publishing Association Inc. 1998. Published by Blackwell Publishers Ltd.

Research Area(s)

  • Inequality constraints, Quadratic loss, Stein-rule