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I think it is impossible James-Stein estimator of the whole sample can outperform all of the three MLE for each particular. Not that I would know of a way to ge
by projectorlochsa 10y ago
I think it is impossible James-Stein estimator of the whole sample can outperform all of the three MLE for each particular. Not that I would know of a way to generate a particular from a joint estimator.
- deleted 10y ago[deleted]
- ryanmonroe 10y agoI think I may have misinterpreted your original comment. It's true, as you say, that in the Stein estimator some individual MSEs get worse to yield a lower overall MSE. I was focusing on your example and assuming you meant this was only possible because some individual MSEs were larger than others to begin with (under the individually optimal estimator).