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Comparison of estimates based on the IMR prior with a Gaussian prior N (0, γI), and g-prior N (0, γ(X′X)−1), with γ = 1 and 106 for a data set with p = 100. When n ≥ p, estimates based on the IM prior had the lowest bias and MSE; while when n < p, they performed equally well as the N (0, I) prior.
