This paper describes an extension of the SDM scheme introduced by Priestley (1980) to the problem of the identification of non-linear systems using only input/output records. It is shown that, under quite general assumptions on the structure of the system, it is possible to identify a non-linear relationship between the input and output processes via a modified version of the Kalman-type algorithm previously applied to the study of non-linear time series models. The paper includes a numerical study of data generated from various types of non-linear systems.
