Abstract
For the model X ∼ Np: (θ,I)preliminary test estimator (PTE), shrinkage and positive-rule versions of the MLE (X) of θare mutually compared in the light of the Pitman closeness measure. The usual dominance properties of these estimators pertaining to the conventional quadratic loss criterion are shown to remain intact in the current context too. In an asymptotic setup, the conclusions hold for a much wider class of estimators pertaining to general parametric and nonparametric models.