Jane Street Interview Question: If X, Y and Z are three rando... | Glassdoor

Interview Question

Quantitative Researcher Interview New York, NY

If X, Y and Z are three random variables such that X and Y

  have a correlation of 0.9, and Y and Z have correlation of 0.8, what are the minimum and maximum correlation that X and Z can have?
Answer

Interview Answer

8 Answers

0

0.9

Anonymous on Jun 16, 2013
6

http://www.johndcook.com/blog/2010/06/17/covariance-and-law-of-cosines/

Anonymous on Jul 1, 2013
5

0.98 & 0.46

Anonymous on Sep 14, 2013
5

http://wolfr.am/1i1XT4P

Anonymous on Oct 18, 2013
0

How'd you get 0.98 and 0.46?

Anonymous on Feb 6, 2014
1

NND correlation matrix --> det(\Sigma)>=0 --> 0.98 and 0.46

Anonymous on Feb 25, 2015
0

minimum: 0.9*0.8+sqrt(1-0.9^2)*sqrt(1-0.8^2) = 0.9815
maximum: 0.9*0.8-sqrt(1-0.9^2)*sqrt(1-0.8^2) = 0.4585

StanLXR on Oct 21, 2017
0

How do you know this

need help on Dec 16, 2020

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