On combining Stein estimation problems: An adaptive rule under classical criteria (Q1080580)

A new rule is developed using Stein's unbiased risk estimator to decide whether to group populations in the Stein estimation problem. Methods are developed for evaluating the risk of this rule in cases where shrinkage is toward zero or toward the group sample means. The new rule has risk that typically is quite close to the minimum of the risks that would result from grouping and from not grouping.