Finding colinear subset
This note explores the following quant interview question: if you are given a matrix $X \in \mathbb{R}^{n\times p}$ that you are told has colinearity, how wo...
Interesting Quant Questions
CV tradeoff
In a quant interview last year, I was asked a question about the tradeoff in changing the number of folds $k$ in $k$-fold cross-validation. Obviously, as the...
Estimating Variances in Autoregression
I was asked this in a quant research onsite interview. It is a question about estimating variances in a noisy autoregression setting.
Estimating the SE of Lasso CV coefficients
This note comes from the following question: You have data $X, Y$ and you run a lasso-penalized linear regression of $Y$ onto $X$, with the lasso parameter t...