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 absolute value).…mehr

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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 absolute value).