Regular fractions of mixed factorials with maximum estimation capacity

We use a finite projective geometric approach to investigate the issue of maximum estimation capacity in regular fractions of mixed factorials, recognizing the fact that not all two-factor interactions may have equal importance in such a set-up. Our results provide further statistical justification for the popular criterion of minimum aberration as applied to mixed factorials.published_or_final_versio

Measuring portfolio performance using a modified measure of risk

This paper reports the results of an investigation into the properties of a theoretical modification of beta proposed by Leland (1999) and based on earlier work of Rubinstein (1976). It is shown that when returns are elliptically symmetric, beta is the appropriate measure of risk and that there are other situations in which the modified beta will be similar to the traditional measure based on the capital asset pricing model. For the case where returns have a normal distribution, it is shown that the criterion either does not exist or reduces exactly to the conventional beta. It is therefore conjectured that the modified measure will only be useful for portfolios that have nonstandard return distributions which incorporate skewness. For such situations, it is shown how to estimate the measure using regression and how to compare the resulting statistic with a traditional estimated beta using Hotelling's test. An empirical study based on stocks from the FTSE350 does not find evidence to support the use of the new measure even in the presence of skewness.Journal of Asset Management (2007) 7, 388-403. doi:10.1057/palgrave.jam.225005

Design of Experiments for Screening

The aim of this paper is to review methods of designing screening experiments, ranging from designs originally developed for physical experiments to those especially tailored to experiments on numerical models. The strengths and weaknesses of the various designs for screening variables in numerical models are discussed. First, classes of factorial designs for experiments to estimate main effects and interactions through a linear statistical model are described, specifically regular and nonregular fractional factorial designs, supersaturated designs and systematic fractional replicate designs. Generic issues of aliasing, bias and cancellation of factorial effects are discussed. Second, group screening experiments are considered including factorial group screening and sequential bifurcation. Third, random sampling plans are discussed including Latin hypercube sampling and sampling plans to estimate elementary effects. Fourth, a variety of modelling methods commonly employed with screening designs are briefly described. Finally, a novel study demonstrates six screening methods on two frequently-used exemplars, and their performances are compared

DECK: Distance and environment-dependent, coarse-grained, knowledge-based potentials for protein-protein docking

<p>Abstract</p> <p>Background</p> <p>Computational approaches to protein-protein docking typically include scoring aimed at improving the rank of the near-native structure relative to the false-positive matches. Knowledge-based potentials improve modeling of protein complexes by taking advantage of the rapidly increasing amount of experimentally derived information on protein-protein association. An essential element of knowledge-based potentials is defining the reference state for an optimal description of the residue-residue (or atom-atom) pairs in the non-interaction state.</p> <p>Results</p> <p>The study presents a new Distance- and Environment-dependent, Coarse-grained, Knowledge-based (DECK) potential for scoring of protein-protein docking predictions. Training sets of protein-protein matches were generated based on bound and unbound forms of proteins taken from the D<smcaps>OCKGROUND</smcaps> resource. Each residue was represented by a pseudo-atom in the geometric center of the side chain. To capture the long-range and the multi-body interactions, residues in different secondary structure elements at protein-protein interfaces were considered as different residue types. Five reference states for the potentials were defined and tested. The optimal reference state was selected and the cutoff effect on the distance-dependent potentials investigated. The potentials were validated on the docking decoys sets, showing better performance than the existing potentials used in scoring of protein-protein docking results.</p> <p>Conclusions</p> <p>A novel residue-based statistical potential for protein-protein docking was developed and validated on docking decoy sets. The results show that the scoring function DECK can successfully identify near-native protein-protein matches and thus is useful in protein docking. In addition to the practical application of the potentials, the study provides insights into the relative utility of the reference states, the scope of the distance dependence, and the coarse-graining of the potentials.</p