Stein's Lemma
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High Quality Content by WIKIPEDIA articles! Stein's lemma, named in honor of Charles Stein, is a theorem of probability theory that is of interest primarily because of its application to statistical inference in particular, its application to James Stein estimation and empirical Bayes methods.Suppose X is a normally distributed random variable with expectation and variance 2. Further suppose g is a function for which the two expectations E( g(X) (X ) ) and E( g (X) ) both exist (the existence of the expectation of any random variable is equivalent to the finiteness of the expectation of its ab...
High Quality Content by WIKIPEDIA articles! Stein's lemma, named in honor of Charles Stein, is a theorem of probability theory that is of interest primarily because of its application to statistical inference in particular, its application to James Stein estimation and empirical Bayes methods.Suppose X is a normally distributed random variable with expectation and variance 2. Further suppose g is a function for which the two expectations E( g(X) (X ) ) and E( g (X) ) both exist (the existence of the expectation of any random variable is equivalent to the finiteness of the expectation of its absolute value).
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