Abstract
Consider the problem of constructing an estimator with a preassigned bound on the risk for a mean of a normal distribution. The paper shows that the usual two-stage estimator is improved on by combined estimators when additional samples taken from distributions with the same mean and different variances are available.
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Kubokawa, T. Inadmissibility of the uncombined two-stage estimator when additional samples are available. Ann Inst Stat Math 40, 555–563 (1988). https://doi.org/10.1007/BF00053065
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DOI: https://doi.org/10.1007/BF00053065