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An explicit formula for the risk of James-Stein estimators |
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| Authors: | M F Egerton P J Laycock |
| Abstract: | Expressions for the risk of a Stein estimator and its principal derivatives involve a well-defined. but nonevaluated. expectation term. Stein (1966) has suggested a second-order approximation. In this paper we present an alternative exact expression. |
| Keywords: | Mean-squared error James-Stein estimator risk |