TL;DR
KL Divergence and Optimal Hypothesis Testing: A canonical quantitative trading interview question at olympiad difficulty. Commonly asked at Jane Street, Two Sigma, Citadel.
By Valenke Exam Prep Team·Last updated 2026-06-01
olympiadInformation & Entropy
KL Divergence and Optimal Hypothesis Testing
Asked at: Jane Street, Two Sigma, Citadel
Problem
You observe independent samples from either distribution (fair coin, ) or Q Q (biased coin, q = 0.6 q = 0.6 ). Using the KL divergence D K L ( P ∥ Q ) D_{KL}(P \| Q) , determine the rate at which the probability of misidentification decreases with n n .
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