Admissible decision rule

Summary

A decision rule is admissible if no other rule beats it in the following sense. The other rule is at least as good for every value of the parameter and strictly better for some value. Admissibility is a minimal requirement of rationality in statistical decision theory: an inadmissible rule can be replaced by one that never does worse. Stein's example shows that even very natural estimators can fail to be admissible.