Efficient Sequential Estimation in a Nonhomogeneous Poisson Process

Sequential estimation in a nonhomogeneous Poisson process with intensity function ¿Y(t) is considered where Y(t) is an observable process. A sequential version of the Cramer-Rao type information inequality is derived which gives a lower bound on the variances of the unbiased estimators of parametric functions of ¿. All efficient estimators whose variances attain the lower bound are characterized together with the corresponding closed sampling plans.