I generate this data in R:
When I perform Box-Ljung test to test the independency:
it gave me p-value=0.5957, which is reasonable. However, when I perform this:
it gave me p-value=0.00162045, which means the autocorrelation of this sub-sequence is significantly different from zero. This also happens for some other subsequences. However, I generated the time series using
$rnorm$ function in R with 1000 data points. Could anybody please explain this? Thanks very much in advance.
For the convenience of you readers who are not using R, the sub-sequence ds[180:299] can be obtained here: http://ykang.hostoi.com/ds120.pdf