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An Analysis of Poisson Moving-Average Processes

Published online by Cambridge University Press:  27 July 2009

William P. McCormick  and
YouSung Park
William P. McCormick
Affiliation:
Department of Statistics, University of Georgia, Athens, Georgia 30602
YouSung Park
Affiliation:
Department of Statistics, Korea University, Seoul, 136-701, Korea
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Abstract

Al-Osh and Alzaid (1988, Statistical Papers 29: 281–300) introduced a class of Poisson moving-average processes. In this paper, we analyze certain properties of such models. In particular, we show that the model has the property of time reversibility. Regression properties of the model are also given. Furthermore, we determine the asymptotic limit distribution for the sample autocovariance function and establish the asymptotic validity of a bootstrap approximation.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 11 , Issue 4 , October 1997 , pp. 487 - 507
Copyright
Copyright © Cambridge University Press 1997

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References

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