ON MINIMAXITY OF THE NORMAL PRECISION MATRIX ESTIMATOR OF KRISHNAMOORTHY AND GUPTA

摘要

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 proposed an estimator and showed its good performance in a Monte Carlo simulation. They conjectured their estimator is minimax. Perron proved its minimaxity for p = 2, In this paper we prove it for p = 3 by using a new method.