Step function regression in Stan

Introduction Tha aim of this post is to provide a working approach to perform piecewise constant or step function regression in Stan. To set up the regression problem, consider noisy observations \(y_1, \ldots, y_n \in \mathbb{R}\) sampled from a standard signal plus i.

Demystifying Stein's Paradox

Stein’s paradox Stein’s example, perhaps better known under the name Stein’s Paradox, is a well-known example in statistics that demonstrates the use of shrinkage to reduce the mean squared error (\(L_2\)-risk) of a multivariate estimator with respect to classical (unbiased) estimators, such as the maximum likelihood estimator.