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On the Sampling Performance of an Improved Stein Inequality Restricted Estimator

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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).
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Keywords: Stein-rule; inequality constraints; quadratic loss

Document Type: Original Article

Affiliations: 1: Kobe University, 2: City University of Hong Kong

Publication date: June 1, 1998

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