Geodesic
On asymptotically efficient recursive estimation of the
Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 3, pp. 577-587

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The estimates of the location parameter on the base of independent observations $Y_1,\dots,Y_n$ with common distribution having density $p(y)$ are considered. We construct a recursive procedure which is uniformly asymptotically (as $n\to\infty$) efficient in the strong sense when the following conditions are fulfilled: (a) $p(y)$ is absolutely continuous, (b) Fisher's information $I(p)=\int(p')^2p^{-1}\,dy$ is finite. 
@article{TVP_1980_25_3_a10,
     author = {M. B. Nevel'son},
     title = {On asymptotically efficient recursive estimation of the},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {577--587},
     publisher = {mathdoc},
     volume = {25},
     number = {3},
     year = {1980},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1980_25_3_a10/}
}
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M. B. Nevel'son. On asymptotically efficient recursive estimation of the. Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 3, pp. 577-587. http://geodesic.mathdoc.fr/item/TVP_1980_25_3_a10/