The Stein effect

The Stein effect is a statistical phenomenon where, when estimating multiple parameters simultaneously, using a method called "shrinkage" can produce more accurate overall estimates than traditional methods. Instead of directly using the observed data, the estimates are slightly pulled toward a common point, like the average. This approach reduces the overall error and improves accuracy, especially when estimating many related quantities at once. It's a surprising result that shows sometimes "borrowing strength" across estimates leads to better results than treating each estimate independently.