The present paper uses small-sigma asymptotics to show that in general the shrinkage estimators have superior properties among the individual least squares estimators, the simple average estimators, the weighted average estimators, estimators obtained by shrinking towards the simple average, and...

The present paper uses small-sigma asymptotics to show that in general the shrinkage estimators have superior properties among the individual least squares estimators, the simple average estimators, the weighted average estimators, estimators obtained by shrinking towards the simple average, and...

For estimating the coefficients in a linear regression model, the Stein-rule estimators are considered and their performance is studied according to the criterion of Pitman closeness. For this purpose, an asymptotic approximation for the criterion is derived and analyzed.

For the estimation of the mean [mu] of a normal population with unknown variance [sigma]2, Searles (1964) provides the minimum mean squared (MMSE) estimator (1 + [sigma]2/(n[mu]2))-1 in the class of all estimators of the type . This MMSE estimator however is not computable in practice if...