Reversing the Stein Effect
Methodology
2012-03-27 v1
Abstract
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 shrinkage estimators such as that of James and Stein, but instead will likely incur a greater error than if shrinkage were not used.
Keywords
Cite
@article{arxiv.1203.5626,
title = {Reversing the Stein Effect},
author = {Michael D. Perlman and Sanjay Chaudhuri},
journal= {arXiv preprint arXiv:1203.5626},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.1214/09-STS278 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org)