Methods of stochastic approximation are used to convert iterative algorithms for maximizing the Kullback-Leibler information measure into sequential algorithms. Special attention is given to the case of incomplete data, and several algorithms are presented to deal with situations of this kind. The application of these algorithms to the identification of finite impulse response systems is considered. >
['Ehud Weinstein', 'Meir Feder', 'Alan V. Oppenheim']
Sequential algorithms for parameter estimation based on the Kullback-Leibler information measure