James Stein estimator

The James-Stein estimator is a statistical method used to improve the accuracy of estimating multiple parameters simultaneously. When estimating several related quantities (like average test scores across different schools), traditional methods treat each estimate independently, which can lead to large errors. The James-Stein estimator "shrinks" these estimates toward a common value (like the overall average), balancing individual data with collective information. This results in more accurate, stable estimates overall, especially when dealing with many parameters, by reducing the influence of random fluctuations in small samples.