Data Analysis Using Stein's Estimator and its Generalizations

Abstract

Abstract In 1961, James and Stein exhibited an estimator of the mean of a multivariate normal distribution having uniformly lower mean squared error than the sample mean. This estimator is reviewed briefly in an empirical Bayes context. Stein's rule and its generalizations are then applied to predict baseball averages, to estimate toxomosis prevalence rates, and to estimate the exact size of Pearson's chi-square test with results from a computer simulation. In each of these examples, the mean square error of these rules is less than half that of the sample mean.