It is well known that there is an increasing demand for modern systems to become more effective and reliable. This real world development pressure has transformed automatic control, initially perceived as the art of designing a satisfactory system, into the modern science that it is today. The observed increasing complexity of modern systems necessitates the development of new control and supervision techniques. To tackle this problem, it is obviously profitable to have all the knowledge concerning system behaviour. Undoubtedly, an adequate model of a system can be a tool providing such knowledge. Models can be useful for system analysis, e.g., to predict or to simulate system behaviour. Indeed, nowadays, advanced techniques for designing controllers are also based on system models. The application of models leads directly to the problem of system identification.