Bayesian sequential estimation of a Poisson process rate

Abstract

SUMMARY This paper provides numerical and analytical solutions to the problem of estimating the rate of a Poisson process. Optimal designs are obtained for various loss functions and the method of analysis is valid for any other loss function. The cost of sampling plays a fundamental role and since there are many practical situations where there is a time cost and an event cost, a sampling cost per observed event and a cost per unit time are both included.