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The minimum discrimination information (MDI) procedure for lowering the mean squared error (MSE) of the minimum variance unbiased estimator (MVUE) of the normal mean is considered. The procedure is em...ployed to shrink the MVUE toward a preliminary conjectured interval under the information measure of Kullback and Leibler (1951). MDI estimator and its mean squared error are derived. The suggested estimator compares favorably with the previously proposed estimators in terms of mean squared error efficiency.続きを見る
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