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To estimate \\({\\underset \\tilde{} \\mu}=(\\mu_ 1,...,\\mu_ n)'\\), a class of linear estimators \\({\\hat \\mu}\\)(h)\\(=M(h)\\underset \\tilde{} y\\) is considered, where h is an indexing number in an index set H, M(h) is an \\(n\\times n\\) matrix and \\(\\underset \\tilde{} y=(y_ 1,...,y_ n)'\\). The generalized cross-validation (GCV) method chooses h by minimizing  \\[  \\| \\underset \\tilde{} y-{\\hat \\mu}(h)\\|^ 2/(1-n^{-1}tr M(h))^ 2  \\]  where ''tr'' means trace and \\(\\| \\cdot \\|\\) denotes the Euclidean norm. The GCV method may be applied to problems in model selection, ridge regression, smoothing splines, for example.    In this paper a new approach is given to the GVC, based on Stein estimates and the associated unbiased risk estimates. Consistency results are obtained for the cross-validated (Steinized) estimates. 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