Stein's unbiased estimator

Stein's unbiased estimator is a statistical method used to estimate the true average of a set of data points, especially when dealing with multiple related measurements. Unlike simpler methods, it adjusts the individual estimates to reduce overall error, often providing a more accurate overarching average. This technique is particularly useful in fields like scientific research or finance, where improving accuracy matters. Essentially, Stein's estimator "shrinks" individual estimates toward a common value, balancing the bias and variance to get a better overall estimate, without introducing systematic error.