Reversing the Stein effect

DOI10.1214/09-STS278zbMath1330.62293arXiv1203.5626MaRDI QIDQ2634659

Michael D. Perlman, Sanjay Chaudhuri

Publication date: 18 February 2016

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.5626

zbMATH Keywords

James-Stein estimatorshrinkage estimatormultivariate normal distributionBayes and empirical Bayes estimators

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Bayesian inference (62F15) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (1)

The philosophical significance of Stein's paradox

Cites Work

• Statistical decision theory and Bayesian analysis. 2nd ed
• Biased versus unbiased estimation
• The Stein paradox in the sense of the Pitman measure of closeness
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
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