AppliedNumeric answer
A matrix has largest singular value and smallest . What is its condition number?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
PCA, covariance matrices and what an eigenvalue is telling you
Reported in interviews at
Citadel, Two Sigma, Hudson River Trading, Jump Trading, D. E. Shaw
More linear algebra questions
- A covariance matrix has eigenvalues 6, 2, 1 and 1.Foundation
- Keeping the big singular values, part 1 of 3Foundation
- You run PCA on yield-curve changes across maturities. What is the first component?Applied
- Keeping the big singular values, part 2 of 3Applied
- You estimate a 500 × 500 sample covariance matrix from 250 days of demeaned returns.Advanced
- You run PCA on raw features measured in wildly different units, and one feature…Advanced