Asymptotic square-root conjecture for the optimal shrinkage parameter
Let mmm denote the number of areas, let boldsymbolθ(,)boldsymbol{\theta}{( ,)}boldsymbolθ(,) be the ordered random effects, and let boldsymbolθ[2](,)(boldsymbol,)boldsymbol{\theta}^{[2]}{( ,)}(boldsymbol{ ,})boldsymbolθ[2](,)(boldsymbol,) denote the predictor indexe…