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Stein effect


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A remarkable result presented by Stein in 1956. Suppose n vector observations {xj} are taken from a multivariate normal distribution with p (> 3) dimensions and unknown mean μ. The most efficient estimator of μ is not , the sample mean, but is The estimators of this type presented by James and Stein in 1961 are called James–Stein estimators or shrinkage estimators (since they ‘shrink’ towards zero).

Subjects: Probability and Statistics.


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