Stein's paradox [1]. Quite well explained in the book "Computer Age Statistical Inference", available online [2]. Cute quote from that book: "The James–Stein

Stein's paradox [1]. Quite well explained in the book "Computer Age Statistical Inference", available online [2]. Cute quote from that book: "The James–Stein theorem came as a rude shock to the statistical world of 1961". [1] https://en.wikipedia.org/wiki/Stein%27s_example https://en.wikipedia.org/wiki/Stein%27s_example [2] https://web.stanford.edu/~hastie/CASI/ https://web.stanford.edu/~hastie/CASI/