  Identifying and quantifying memory are often critical steps in developing a
mechanistic understanding of stochastic processes. These are particularly
challenging and necessary when exploring processes that exhibit long-range
correlations. The most common signatures employed rely on second-order temporal
statistics and lead, for example, to identifying long memory in processes with
power-law autocorrelation function and Hurst exponent greater than $1/2$.
However, most stochastic processes hide their memory in higher-order temporal
correlations. Information measures---specifically, divergences in the mutual
information between a process' past and future (excess entropy) and minimal
predictive memory stored in a process' causal states (statistical
complexity)---provide a different way to identify long memory in processes with
higher-order temporal correlations. However, there are no ergodic stationary
processes with infinite excess entropy for which information measures have been
compared to autocorrelation functions and Hurst exponents. Here, we show that
fractal renewal processes---those with interevent distribution tails $\propto
t^{-\alpha}$---exhibit long memory via a phase transition at $\alpha = 1$.
Excess entropy diverges only there and statistical complexity diverges there
and for all $\alpha < 1$. When these processes do have power-law
autocorrelation function and Hurst exponent greater than $1/2$, they do not
have divergent excess entropy. This analysis breaks the intuitive association
between these different quantifications of memory. We hope that the methods
used here, based on causal states, provide some guide as to how to construct
and analyze other long memory processes.
