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I asked this question in stackoverflow, with no success. I am hoping that i might get some suggestions here.

I am trying to generate non-zero mean AR(2) samples using statsmodels package. But it seems , by default we can't generate non-zero mean samples.

Is there any workaround. I want to generate only positive samples. I am fine with R too.

My current code is

import numpy as np
from statsmodels.tsa.arima_process import ArmaProcess

rng = np.random.default_rng(12345)
ar_1 = np.array([1, -0.25, -0.25])    
ar_2 = np.array([1, -0.5, -0.25])  
ma1 = np.array([1])
ar1_proc = ArmaProcess(ar_1, ma1)
ar1_dat = ar1_proc.generate_sample(nsample=2*60*60, distrvs=rng.lognormal)
ar2_proc = ArmaProcess(ar_2, ma1)
ar2_dat = ar2_proc.generate_sample(nsample=2*60*60, distrvs=rng.lognormal)
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  • $\begingroup$ The question is ambiguous. Is the target a non-zero mean or a positive valued time series? The former can be achieved by just adding a mean to the simulated series as in Hardy's answer. I don't see a way to create a stationary linear AR process that has only positive values. For example log transforming a gaussian linear AR process creates a multiplicative lognormal AR process. GLM type autoregressive models for positive valued data would require a nonlinear link function. $\endgroup$
    – Josef
    Commented Feb 13 at 22:40

1 Answer 1

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You can add any mean you like after having simulated a zero-mean AR(2) process. (I do not use statsmodels so I am not providing code, but adding a constant to a simulated time series should be super easy.)

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