[R-SIG-Finance] Does R have a formal test for long vs short memory process?

[Brian G. Peterson]

tom soyer wrote:
> Does anyone know if there are formal tests for long vs short memory
> processes? i.e., quantitative tests instead of visual examination of
> corellograms produced by acf.

Perhaps you could be a bit more specific about what you want?

In addition to the ACF chart, the acf calculation calculates confidence 
intervals for significance.  The summary() method on the results of an 
acf will tell you what the values for these confidence intervals are.

There are also several other quantitative methods that have been 
proposed for measuring and dealing with acf and partial acf in financial 
time series.  If you have one of these methods in mind, perhaps we can 
see if they are either already implemented or could be implemented easily.

Regards,

    - Brian