A complete theory for shot-noise analysis is presented. The theory takes into account the effects of counting statistics, time resolution, and finite observing times on the autocorrelation function and on the moments of data assumed to consist of shot noise plus a steady component. When applied to X-ray observations of Cyg X-1 in the high and low states, the results provide evidence that both the typical correlation time (about 0.5 s) and the fraction of flux in shots (about 30%) are constant, independent of the state. The rate of occurrence of the shots may also be constant at approximately one shot per second, a possibility which, if verified, would imply that the principal difference in time variability in the two states is the amplitude of the shots. We also suggest that the occasionally observed large flares may possibly be just the rare superposition of several shots.