The estimator has been constructed similar to the Parzen-Rosenblatt window method using a single realization of a Poisson process at a fixed time interval. The intensity function of a non-homogeneous Poisson process is estimated up to a multiplicative constant. The convergence rate of the mean square error was found in the series of schemes with an unlimited increase of the intensity.
The structure of the estimators is similar to the recursive kernel estimators of a density function and its derivative. The estimators have been constructed using a single realization of Poisson process on a fixed time interval. Mean-square convergence has been proved in a scheme of series. Simulation studies have been carried out to illustrate the convergence.
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