ON USING THE GENERALIZED HELLWIG'S INEQUALITY FOR VERIFYING THAT A SYMMETRIC MATRIX IS A CORRELATION MATRIX

• Authors: Westa M.
• Languages of publication: PL

Abstracts

EN

Hellwig (1976) proposed an inequality concerning the relationship between all pairwise correlation coefficients in the case of three variables. The generalised Hellwig's inequality (hereafter GHI) was derived by Borowiecki, Kaliszyk and Kolupa (1984). They argued that any symmetric k x k matrix, whichhas the foliowing properties: (1) k is greater than 3; (2) all elements on the main diagonal are units; (3) all elements outside the main diagonal are not greater than one in absolute value; is a correlation matrix if GHI is fulfilled for every element above the main diagonal (hereafter GHI criterion). These results were used by Dudek (2003). Methods of verification that a symmetric matrix with properties (1)-(3) is a correlation matrix (hereafter CM verification) were also considered by Hauke and Pomianowska (1987). They derived conditions (hereafter HP conditions) of using GHI in CM verification for a symmetric matrix of certain type. They did not consider the GHI criterion. In the present paper new conditions of using GHI in CM verification were derived. It was proved that (a) the GHI criterion properly indicates the correlation matrices only for k = 3; (b) if k is greater than 3 then the fulfilment of the GHI criterion is not a sufficient condition for a symmetric matrix with properties (1)-(3) to be a correlation matrix; (c) HP conditions are not true.

Keywords

EN

CORELLATION MATRIX; GENERALISED HELLWIG'S INEQUALITY; GHI CRITERION; PAIRWISE CORRELATION COEFFICIENTS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2008
• Volume: 55
• Issue: 2
• Pages: 64-77
• Document type: ARTICLE

Contributors

author

Westa M.

• M. Westa, Uniwersytet Warminsko-Mazurski w Olsztynie, Wydzial Nauk Ekonomicznych, Katedra Metod Ilosciowych, ul. Oczapowskiego 4, 10-719 Olsztyn, Poland

Identifiers

CEJSH db identifier

08PLAAAA04899294