1. Introduction

Inferring models from observations and studying their properties is really what science is about. The models (“hypotheses,” “laws of nature,” “paradigms,” etc.) may be of more or less formal character, but they have the basic feature that they attempt to link observations together into some pattern. System identification deals with the problem of building mathematical models of dynamical systems based on observed data from the system. The subject is thus part of basic scientific methodology, and since dynamical systems are abundant in our environment, the techniques of system identification have a wide application area. This book aims at giving an understanding of available system identification methods, their rationale, properties, and use.