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Stein's Paradox in Statistics (Bradley Efron, Carl Morris)

by reiver

Sometimes a mathematical result is strikingly contrary to generally held belief even though an obviously valid proof is given. Charles Stein of Stanford University discovered such as a paradox in statistics in 1955. His result undermined a century and a half of work on estimation theory, going back to Karl Friedrich Gauss and Adrien Marie Legendre. After a long period of resistance to Stein's ideas, punctuated by frequent and sometimes angry debate, the sense of paradox has diminished and Stein's ideas are being incorporated into applied and theoretical statistics.

Stein's paradox concerns the use of observed averages to estimate unobserved quantities. Averaging is the second most basic process in statistics, the first being the simple act of counting.


The paradoxical element in Stein's result is that it sometimes contradicts this elementary law of statistical theory.


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