This paper is concerned with the identification of switched linear MIMO state-space systems in a recursive way. Firstly, a structured subspace identification scheme for linear systems is presented which turns out to have many attractive features. More precisely, it does not require any singular value decomposition (SVD) but is derived using orthogonal projection techniques; it allows a computationally appealing implementation and it is closely related to input-output models identification. Secondly, it is shown that this method can be implemented on-line to track both the range space of the extended observability matrix and its dimension and thereby, the system matrices. Thirdly, by making use of an on-line switching times detection strategy, this method is applied to blindly identify switched systems and to label the obtained submodels. Simulation results on noisy data illustrate the abilities and the benefits of the proposed approach.