A group majorization ordering for correlation matrices (Q908992)

Ranking and comparison of various correlation matrices are attempted through ordering by majorization. Rules for ordering and equivalence of different types of correlation matrices e.g., multiple, partial and canonical correlation matrices, are developed in several theorems. These rules characterize the conditions under which the multiple, partial and canonical coefficient matrices preserve in some sense the partial ordering relation \(\leq\). This partial ordering is shown to have many intuitively appealing properties.