Atomic memory effects occur when the atomic relaxation times are comparable to or much longer than the cavity relaxation times.We show that by using the memory effects,it is possible to obtain high-frequency Einstein-Podolsky-Rosen entanglement between a pair of Stokes and anti-Stokes fields in a four-wave mixing system.The physical origin is traced to the dynamical Stark splittings of dressed states due to the parametrically amplified fields.This mechanism provides an alteative and efficient way for sideband entanglement.