Stein's Paradox

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120sfoundation (3/10)compute

Let X \sim N (θ, I_{d}) in R^{d} with d \geq 3 . The MLE for θ is \hat{θ}^{MLE} = X . What is its squared-error risk E ∥ \hat{θ}^{MLE} - θ ∥^{2} ?