James Stein estimator definition

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James–Stein estimator

James–Stein estimator logo #21000 A consequence of the above discussion is the following counterintuitive result: When three or more unrelated parameters are measured, their total MSE can be reduced by using a combined estimator such as the James–Stein estimator; whereas when each parameter is estimated separately, the least squares (LS) estimator is admissible. A quirky example...
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