The parameter identification using artificial neural networks is becoming very popular. In this chapter, the parameters of dynamical system are identified using artificial neural networks. A fast gradient decent technique for the parameter identification of a linear dynamical system has been presented. The following concepts are used for training of neural networks while identifying the system parameters: (1) batch wise training of neural networks; (2) variable learning parameter and; (3) an intelligent check over the rate at which parameters are converging. The complete algorithm is summarized as a flow chart. A detailed mathematical formulation is given. The simulation results and a comparative study with existing method is included.