Information AboutJames-stein Estimator |
| CATEGORIES ABOUT JAMES-STEIN ESTIMATOR | |
| decision theory | |
| estimation theory | |
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An earlier version of the estimator was developed by Stein (1956), and is sometimes referred to as Stein's estimator. The result was improved by James and Stein (1961). SETTING Suppose is an unknown parameter vector of length , and let be observations of the parameter vector, such that : We are interested in obtaining an estimate of , based on the observations . This is an everyday situation in which a set of parameters is measured, and the measurements are corrupted by independent Gaussian noise. Since the noise has zero mean, it is very reasonable to use the measurements themselves as an estimate of the parameters. This is the approach of the Least Squares estimator, which simply equals in this case. |
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