matlab seed函数_Matlab R2011b固定seed的问题

clear all;

clc;

%========= fix seed ===============================

%in Matlab R2011b

s = RandStream('mt19937ar','Seed',0);

RandStream.setGlobalStream(s);

% rng(1111);

% stream = RandStream.getGlobalStream;

% reset(stream,0);

%-----------------------------LOAD DATA------------------------------------

Y = xlsread('experiment.xlsx');

% Number of observations and dimension of X and Y

t = size(Y,1);

M = size(Y,2);

% training sample | initialize Kalman filter

tau = 40;  % size of training sample, CAN BE ALTERED according to the size of data

p = M;

plag = 2;

ylag = mlag2(Y,plag); % Y is [T x m]. ylag is [T x (nk)]

ylag = ylag(plag+1:t,:);

m = p + plag*(p^2); % dimension of parameters

% Create Z_t matrix

Z = zeros((t-tau-plag)*p,m);

for i = tau+1:t-plag

ztemp = eye(p);

for j = 1:plag

xtemp = ylag(i,(j-1)*p+1:j*p);

xtemp = kron(eye(p),xtemp);

ztemp = [ztemp xtemp];  %#ok

end

Z((i-tau-1)*p+1:(i-tau)*p,:) = ztemp;

end

y = Y(tau+plag+1:t,:)'; % sample used for estimation

t=size(y,2);    % size of the sample used for estimation

%----------------------------PRELIMINARIES---------------------------------

% Set some Gibbs - related preliminaries

nrep = 50;  % Number of replications

nburn = 0;   % Number of burn-in-draws

apart = 1;   % save every apart-th draw

it_print = 10;  %Print in the screen every "it_print"-th iteration

%========= PRIORS:====================================

%========= PRIORS ON TRANSISION PROBS (Beta)

a_prob = .5;

b_prob = .5;

ap_0 = a_prob*ones(3,1);

bp_0 = b_prob*ones(3,1);

ap=zeros(3,1);

bp=zeros(3,1); %parameters for Beta distribution: alpha, beta

%=========PRIORS ON TIME-VARYING PARAMETERS AND THEIR COVARIANCES

[B_OLS,VB_OLS,A_OLS,sigma_OLS,VA_OLS]= ts_prior(Y,ylag(1:tau,:),tau,p,plag);

% Set some hyperparameters here (see page 831, end of section 4.1)

k_Q = 0.01;

%-------- Now set prior means and variances (_prmean / _prvar)

% B_0 ~ N(B_OLS, 4Var(B_OLS))

B_0_prmean = B_OLS;

B_0_prvar = 4*VB_OLS;

% Note that for IW distribution: scale and shape parameters...

% Q ~ IW(k2_Q*size(subsample)*Var(B_OLS),size(subsample))

Q_prmean = ((k_Q).^2)*tau*VB_OLS;

Q_prvar = tau;

%========= INITIALIZE MATRICES=======================

% Specify covariance matrices for measurement and state equations

consQ = 0.0001;

consH = 0.01;

Qdraw = consQ*eye(m);

Qchol = sqrt(consQ)*eye(m);

Ht = kron(ones(t,1),consH*eye(p));

Htsd = kron(ones(t,1),sqrt(consH)*eye(p));

Bdraw = zeros(m,t);

Zs = kron(ones(t,1),eye(p));

kdraw = 1*ones(t,3);

pdraw = .5*ones(1,