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Understanding the temporal variations that occur in river water pH is vital for the conservation of aquatic organisms in riverine ecosystems. Temporal variations in river water pH are caused by long-term inter-annual trends and short-term periodic or nonperiodic fluctuations. However, statistical methods that explicitly and quantitatively distinguish these components in time series pH data analyses have not been applied. Using a Bayesian structural time series model, we decomposed the 11-year (132-month) variations in pH in the five Tama River headwaters into trend and periodic (seasonal) variation components, nonperiodic temporary fluctuations caused by water temperature changes, and variations not explained by these factors. The model revealed that the trend and periodic components and the influence of water temperature were unclear in the time series changes in the pH of all five rivers. We concluded that the observed time series changes in the pH of the five rivers analyzed were mostly the result of observation errors and random walk caused by accumulated noise (process error). Bayesian structural time series models like this model have several advantages in the analysis of time series environmental data. For example, it does not require the assumption that the trend and periodic components are temporally constant. It is flexible and will facilitate future limnological studies particularly when the conditions surrounding freshwater environments are unlikely to remain constant under climate change. [ABSTRACT FROM AUTHOR]

The purpose of this study is to discuss the implementation and importance about the multinomial logit model of Bayesian Age-Period-Cohort analysis. Since the design matrix of three factors does not become full rank due to the identification problem derived from linear dependency between age, period and cohort, few studies have used a complex model. In contrast, this paper presents the practical multinomial logit model with efficient sampling by reparameterization about the constraints of assuming a random walk for each effect. Furthermore, we compared the estimates of the logit model and the multidimensional model about political issues that should be considered from multiple perspectives. Using repeated cross-sectional survey in Japan from 1973 to 2013, the multinomial logit model was shown to be effective because it was able to obtain a trend that were not captured in the logit model. [ABSTRACT FROM AUTHOR]

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers different time horizons (2, 5 and 10 years) and frequencies (monthly and weekly). The empirical findings in most cases imply that the market risk premium is a highly persistent variable which can be characterized as a random walk process, whilst its volatility is less persistent and exhibits stationary long-memory behaviour. There is also evidence that in the case of the US the degree of persistence has changed as a results of various events; this is confirmed by both endogenous break tests and the associated subsample estimates. Market participants should take this evidence into account when designing their investment strategies. [ABSTRACT FROM AUTHOR]

Momentum is a consistent phenomenon in financial data from the majority of markets around the globe. One prominent exception is the Japanese market, where returns from a momentum-investment strategy are nonexistent. The authors investigated international differences in the representativeness heuristic, which is one potential driver of momentum. After observing sequences of a random walk, subjects give probability estimates for the direction of the respective next change. The experiment was conducted in Japan and in Germany. For a subgroup of participants with lower cognitive abilities our results are perfectly in line with international momentum evidence. [ABSTRACT FROM PUBLISHER]

Abstract: This paper uses the traditional variance ratio test of Lo and MacKinlay (1988, 1989), the non-parametric-based variance ratio test of Wright (2000) and the multiple-variance ratio test of Chow and Denning (1993), to re-examine the validity of the weak form efficient market hypothesis for foreign exchange markets in four floating-rate markets in neighboring Asian economies (Japan, South Korea, Taiwan and the Philippines). The results show that the random walk patterns of the exchange rate return series cannot be rejected, with the one exception of Taiwan, where inefficiency is shown to be most prominent. We therefore conclude that the foreign exchange markets of Japan, South Korea and the Philippines are weak form efficient, while the foreign exchange market of Taiwan is inefficient. [Copyright &y& Elsevier]

This paper empirically examines whether three East Asian stock markets, namely, those of China, Japan and South Korea, are individually and/or jointly efficient, and whether contagion exists between the cointegrated markets. While individual market efficiency is examined through testing for the random walk hypothesis, joint market efficiency is examined through testing for cointegration and contagion. The present study finds that the hypothesis of individual market efficiency is strongly rejected for the Chinese stock market, but not for the Japanese and the South Korean stock markets. However, when testing for cointegration, market efficiency is strongly rejected for all these markets. We take a simple case of contagion and find that although there is a long-term relationship among the three markets, the contagion hypothesis cannot be rejected only between Japanese and South Korean stock markets, indicating short-run portfolio diversification benefits from these two markets. [ABSTRACT FROM AUTHOR]

Abstract: An extensive series of experiments on the parametrically excited rolling motion of a partially restrained post-panamax containership in longitudinal irregular long crested waves has been performed at Osaka University. The paper addresses some basic aspects of the problem such as the influence of the initial conditions, the problem of the length of the initial stochastic transient, the dispersion in the estimated statistical characteristic of measured processes, i.e. roll, pitch and wave elevation. It is shown that the uncertainty in the statistical estimations from time histories for roll can be significantly larger than the uncertainty in the estimations for pitch and waves, especially when the environmental conditions are close to the parametric roll stability boundaries. In that respect, the problem of “practical ergodicity” is also addressed. From the comparison of roll time series obtained from repeated experiments with different initial conditions we have clearly proved the (expected) coexistence of symmetric solutions. In addition, from the same comparisons, the conjecture on the possible presence of multiple non-trivial attractors appears to be supportable. [Copyright &y& Elsevier]

The paper examines the purchasing power parity(PPP) theory of the foreign exchange rate of the yenagainst the currencies of the six G7 countries. We usethe error-corrected five-dimensional vectorautoregressive (VAR) model with structural changes inthe trend function. The data cover the period of thepost-Breton-Woods floating exchange rate system. Theresults reveal that the PPP relation alone determinesthe exchange rates for the USA, France, Germany, andItaly, while a linear combination of PPP and uncoveredinterest rate parity (UIP) relations determines that for Canada. Ina model without trend breaks, the PPP relations holdonly for Germany, which indicates that a correctspecification of the sampling distribution of data isimportant. The one-step prediction based on the errorcorrection model (ECM) outperforms the random walkmodel. The ECM is useful to predict the out-of-samplebehaviors of the exchange rates. [ABSTRACT FROM AUTHOR]