Stein's lemma Guide, Meaning , Facts, Information and Description

Stein's lemma, named in honor of Charles Stein, may be characterized as 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.

Statement of the lemma

Suppose X is a normally distributed random variable with expectation μ and variance σ². Further suppose g is a function for which the two expectations E( g(X) (X − μ) ) 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). Then

In order to prove this lemma, recall that the probability density function for the normal distribution with expectation 0 and variance 1 is

and that for a normal distribution with expectation μ and variance σ² is

Then use integration by parts.

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