A generalization of Kristof's theorem on the trace of certain matrix products

Abstract

Kristof has derived a theorem on the maximum and minimum of the trace of matrix products of the form$X_1 \hat \Gamma _1 X_2 \hat \Gamma _2 \cdots X_n \hat \Gamma _n$ where the matrices$\hat \Gamma _i$ are diagonal and fixed and theX _i vary unrestrictedly and independently over the set of orthonormal matrices. The theorem is a useful tool in deriving maxima and minima of matrix trace functions subject to orthogonality constraints. The present paper contains a generalization of Kristof's theorem to the case where theX _i are merely required to be submatrices of orthonormal matrices and to have a specified maximum rank. The generalized theorem contains the Schwarz inequality as a special case. Various examples from the psychometric literature, illustrating the practical use of the generalized theorem, are discussed.