Kim, Tae-Hwan; White, Halbert - University <Nottingham> / Department of Economics; … - 2000
We explore the extension of James-Stein type estimators in a direction that enables them topreserve their superiority when the sample size goes to infinity. Instead of shrinking a base estimatortowards a fixed point, we shrink it towards a data-dependent point. We provide an analytic expression...