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Shalabh, and Toutenburg, Helge and Heumann, Christian (2006): Risk Performance Of Stein-Rule Estimators Over The Least Squares Estimators Of Regression Coefficients Under Quadratic Loss Structures. Collaborative Research Center 386, Discussion Paper 495
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Abstract

This paper presents a general loss function under quadratic loss structure and discusses the comparison of risk functions associated with the unbiased least squares and biased Stein-rule estimators of the coefficients in a linear regression model.