| Abstract: | We consider the orthogonally invariant estimation problem of the inverse of the scale matrix of Wishart distribution using Stein's loss (entropy loss). In this problem Krishnamoorthy and Gupta 2] Krishnamoorthy, K. and Gupta, A. K. (1989). Improved minimax estimation of a normal precision matrix. Canad. J. Statist., 17: 91–102. Crossref], Web of Science ®] , Google Scholar] proposed an estimator and showed its good performance in a Monte Carlo simulation. They conjectured their estimator is minimax. Perron 3] Perron, F. (1997). On a conjecture of Krishnamoorthy and Gupta. J. Multivariate Anal., 62: 110–120. Google Scholar] proved its minimaxity for p?=?2. In this paper we prove it for p?=?3 by using a new method. |
