Thanks Brian. I wanted to test if a data series has long memory or short
memory. By short memory process, I meant that their acf declines
exponentially. For long memory processes, their acf declines very slowly. I
was thinking that if such a test is available, then one could use it to help
determine how to model a series, e.g. ARMA vs. GARCH, etc. One could make
the determination based on a visual examination of the acf correllogram, but
the problem with this method is that it's not quantitative and therefore not
automatable. Does that make sense?


On 1/31/08, Brian G. Peterson <brian@braverock.com> wrote:
>
> 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
>



-- 
Tom

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