PCA Total Variance - Quant Trader Interview Question
Difficulty: Medium
Category: Data Science
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Topics: PCA, linear-algebra, eigenvalues, variance, covariance
Problem Description
You are analyzing a dataset of stock returns using Principal Component Analysis (PCA) to reduce dimensionality and identify key factors. You've calculated the covariance matrix of the stock returns.
What is the sum of the eigenvalues of this covariance matrix equal to?
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