Preservers of partial orders on the set of all variance-covariance matrices

Abstract

Let H+n(R) be the cone of all positive semidefinite n x n real matrices. Two of the best known partial orders that were mostly studied on subsets of square complex matrices are the L?wner and the minus partial orders. Motivated by applications in statistics we study these partial orders on H+n(R). We describe the form of all surjective maps on H+ n (R), n > 1, that preserve the L?wner partial order in both directions. We present an equivalent definition of the minus partial order on H+n(R) and also characterize all surjective, additive maps on H+ n (R), n ? 3, that preserve the minus partial order in both directions.