Geodesic
On Bayes sequential estimation of location parameter of unsmooth density
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 3, Tome 260 (1999), pp. 130-154

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We consider the problem of sequential estimation of location parameter for the density having irregular behaviour in some points (discontinuities, infinite derivatives). Thus the density has no finite Fisher information. In this case the sequential estimation is usually “essentially better” then the estimation with the fixed sample size. In the paper we prove asymptotic efficiency of Bayes plans of sequential estimation and find their limit distributions. 
@article{ZNSL_1999_260_a8,
     author = {M. S. Ermakov},
     title = {On {Bayes} sequential estimation of location parameter of unsmooth density},
     journal = {Zapiski Nauchnykh Seminarov POMI},
     pages = {130--154},
     publisher = {mathdoc},
     volume = {260},
     year = {1999},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_1999_260_a8/}
}
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M. S. Ermakov. On Bayes sequential estimation of location parameter of unsmooth density. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 3, Tome 260 (1999), pp. 130-154. http://geodesic.mathdoc.fr/item/ZNSL_1999_260_a8/