On the Sampling Performance of an Improved Stein Inequality Restricted Estimator |
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Authors: | Kazuhiro Ohtani & Alan TK Wan |
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Institution: | Kobe University,;City University of Hong Kong |
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Abstract: | 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: | inequality constraints quadratic loss Stein-rule |
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