The extended Stein procedure for simultaneous model selection and parameter estimation (Q1822168)

A parameter truncation criterion, developed in conjunction with \textit{C. Stein}'s partitioned analog [Ann. Stat. 9, 1135-1151 (1981; Zbl 0476.62035)] of the \textit{B. Efron} and \textit{C. Morris} limited translation estimator [J. Am. Stat. Assoc. 67, 130-139 (1972; Zbl 0231.62013)], is used in an orthonormal linear statistical model setting as a basis for simultaneously selecting the relevant variables and estimating the unknown parameters. Using a squared error loss measure and making use of prior information concerning the coefficients of extraneous variables, the sampling performance of the extended Stein procedure (ESP) is analyzed for two alternative structures of the parameter space and under normal and non-normal errors.