Abstract
Estimation-preceded-by-testing is studied in the context of estimating the mean vector of a multivariate normal distribution under squared error loss together with a complexity cost. It is shown that although the preliminary test estimator is admissible for the univariate problem (cf Meeden and Arnold (1979),J. Amer. Statist. Assoc.,74, 872–874), for dimensionp≧3, the estimator is inadmissible. A new preliminary test estimator is obtained, which depends on the cost for each component and dominates the usual preliminary test estimator.
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