Reversing the Stein Effect

Details Reversing the Stein Effect Reversing the Stein Effect

2012-03-26

arxiv.org/abs/1203.5626v1

Statistical Science 2012, Vol. 27, No. 1, 135-143

Statistics

Methodology

Published in at http://dx.doi.org/10.1214/09-STS278 the Statistical Science (http://www.imstat.org/sts/) by the Institute of M

Scientific paper

10.1214/09-STS278

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.

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