Admissibility of some preliminary test estimators for the mean of normal distribution

Summary Let a random variableX follow ap-variate normal distributionN _p (θ, I _p ) with an unknownp×1 vector θ andp×p identity matrixI _p . The admissibility of a preliminary test estimator using AIC (Akaike's Information Criterion) procedure will be shown ifp=1 and its inadmissibility will be shown ifp≧3 under the loss function based on Kullback-Leibler information measure. Furthermore the two sample case is also considered.