library(fracdiff) set.seed(123456) # ARFIMA(0.4,0.4,0.0) y1 <- fracdiff.sim(n=1000, ar=0.4, ma=0.0, d=0.4) # ARIMA(0.4,0.0,0.0) y2 <- arima.sim(model=list(ar=0.4), n=1000) # Graphics op <- par(no.readonly=TRUE) layout(matrix(1:6, 3, 2, byrow=FALSE)) plot.ts(y1$series, main='Time series plot of long memory', ylab='') acf(y1$series, lag.max=100, main='Autocorrelations of long memory') spectrum(y1$series, main='Spectral density of long memory') plot.ts(y2, main='Time series plot of short memory', ylab='') acf(y2, lag.max=100, main='Autocorrelations of short memory') spectrum(y2, main='Spectral density of short memory') par(op)