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This paper is concerned with recursive estimation using augmented data. We study two recursive procedures closely linked with the well-known expectation and maximization (EM) and space alternating generalized EM (SAGE) algorithms. Unlike iterative methods, the recursive EM and SAGE-inspired algorithms give a quick update on estimates given new data. Under mild conditions, estimates generated by these procedures are strongly consistent and asymptotically normally distributed. These mathematical properties are valid for a broad class of problems. When applied to direction of arrival (DOA) estimation, the recursive EM and SAGE-inspired algorithms lead to a very simple and fast implementation of the maximum-likelihood (ML) method. The most complicated computation in each recursion is inversion of the augmented information matrix. Through data augmentation, this matrix is diagonal and easy to invert. More importantly, there is no search in such recursive procedures. Consequently, the computational time is much less than that associated with existing numerical methods for finding ML estimates. This feature greatly increases the potential of the ML approach in real-time processing. Numerical experiments show that both algorithms provide good results with low computational cost.
Date of Publication: Aug. 2005