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.
Phillips, Peter C.B., "The Exact Distribution of the Stein-Rule Estimator" (1983). Cowles Foundation Discussion Papers. 915.