Published online by Cambridge University Press: 27 July 2009
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.