Orthogonal Matrix Singular Values - Quant Trader Interview Question
Difficulty: Medium
Category: Data Science
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Topics: linear-algebra, singular-value-decomposition, orthogonal-matrix, data-science
Problem Description
You are building a volatility model that utilizes a covariance matrix decomposition. As part of your process, you need to understand the properties of orthogonal matrices.
What are the singular values of a real orthogonal matrix $Q$ ?
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