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A review of the results on the Stein approach for estimators improvement. (English) Zbl 1167.62342

Summary: Since 1956, a large number of papers have been devoted to Stein’s technique of obtaining improved estimators of parameters, for several statistical models. We give a brief review of these papers, emphasizing those aspects which are interesting from the point of view of the theory of unbiased estimation.

MSC:

62C25 Compound decision problems in statistical decision theory
62J07 Ridge regression; shrinkage estimators (Lasso)
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