ABSTRACT
Although the JS has a uniformly smaller MSE than the MLE averaging over certain compound loss functions the individual components do not, in general have this property. The properties of the MSEs for the individual components, the IMSEs, can be quite different than those obtained averaging over a compound loss function, the CMSEs. The objective of this chapter is to compare the properties of these two kinds of MSEs for different setups involving univariate linear models.
