Stein's Paradox states that when trying to estimate the 3 or more means of normally distributed data together, it's always better (on average) to shrink the estimates. Specifically if you've got p independent normally distributed variables \(X_i \sim N(\theta_i, 1) ;\, i=1,\ldots,p\) the best estimates for minimising the mean squared error of all the estimates isn't the values themselves \(X\), and the James-Stein estimator is better (has strictly lower risk).