Reversing the Stein Effect

The Reverse Stein Effect is identified and illustrated: A statistician who shrinks his/her data toward a point chosen without reliable knowledge about the underlying value of the parameter to be estimated but based instead upon the observed data will not be protected by the minimax property of shrin...

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Veröffentlicht in:	Statistical science 2012-02, Vol.27 (1), p.135-143
Hauptverfasser:	Perlman, Michael D., Chaudhuri, Sanjay
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayes and empirical Bayes estimators Bayes estimators Bayesian analysis Borel sets Estimate reliability Estimators Gaussian distributions James–Stein estimator Mathematical vectors Maximum likelihood estimation Multivariate analysis multivariate normal distribution Point estimators Shrinkage shrinkage estimator Special Section: Minimax Shrinkage Estimation: A Tribute to Charles Stein Symmetry Unbiased estimators
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