Abstract

Abstract In the comparison of estimators, the typical viewpoint of mean squared error has been challenged by C. R. Rao. In this article we propose a method of selecting estimators in normal populations based on their regions of preference. These regions of preference are a natural consequence of Rao's emphasis on Pitman nearness. We apply the method in the case of estimation of the mean of a bivariate normal through the James-Stein class.

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