[Numpy-discussion] non-standard standard deviation
Charles R Harris
Sun Dec 6 10:41:19 CST 2009
On Sun, Dec 6, 2009 at 9:21 AM, <firstname.lastname@example.org> wrote:
> On Sun, Dec 6, 2009 at 11:01 AM, Colin J. Williams <email@example.com> wrote:
> What's the best estimate? That's the main question
> Estimators differ in their (sample or posterior) distribution,
> especially bias and variance.
> Stein estimator dominates OLS in the mean squared error, so although
> it is biased, the variance of the estimator is smaller than OLS so that
> MSE (bias plus variance) is also smaller for Stein estimator than for OLS.
> Depending on the application there could be many possible loss functions,
> including asymmetric, eg. if its more costly to over than to under
> The following was a good book for this, that I read a long time ago:
> Statistical decision theory and Bayesian analysis By James O. Berger
At last, an explanation I can understand. Thanks Josef.
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