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Asymptotic mean squared error of constrained James-Stein estimators. (English) Zbl 1091.62008

Summary: We consider the asymptotic expansion of the MSE of constrained James–Stein estimators. We provide an estimator of the MSE which is asymptotically valid up to \(O(m^{-1})\). A simulation study is undertaken to evaluate the performance of these estimators.

MSC:

62F12 Asymptotic properties of parametric estimators
62E20 Asymptotic distribution theory in statistics
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