CFDP 682

The Exact Distribution of the Stein-Rule Estimator


Publication Date: November 1983

Pages: 14


This paper derives the exact density of the Stein-rule estimator in the setting of the general linear regression. The derivation is facilitated by the author’s development of new algebraic methods that involve an extension of the Weyl calculus. General formulae for the moments of the estimator are also provided.

See CFP: 594