Inadmissibility of the Stein-rule estimator under the balanced loss function

In this paper, the risk of the Stein-rule (SR) estimator is compared with that of the improved Stein-rule estimator using the Stein variance (SRSV) estimator under the balanced loss function. It is shown that the SRSV estimator dominates the SR estimator even if the loss function is extended to the BLF. Also, our numerical results show that the SRSV estimator dominates the OLS estimator when the weight of precision of estimation is larger than about half, and vice versa.