Simulation and Extension of a Minimum Mean Squared Error Estimator in Comparison with Stein's
H D Vinod · Technometrics · 1976
We discuss a fixed point solution of the iterative process underlying Farebrother's “minimum mean squared error (MSE) estimator.” The similarity between our fixed point solution and Stein's shrunken least squares estimator is striking. A simulation study favors Stein's and our fixed point solution over ordinary least, squares and Farebrother's estimator.