Document Type
Discussion Paper
Publication Date
11-1-1983
CFDP Number
682
CFDP Pages
14
Abstract
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.
Recommended Citation
Phillips, Peter C.B., "The Exact Distribution of the Stein-Rule Estimator" (1983). Cowles Foundation Discussion Papers. 915.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/915