To provide a method of identifying an unknown system with which a convergence time is made shorter than that in the prior art, in the method being adapted to identify an unknown system using an IIR type filter or a filter structured closely to the IIR filter.

The method includes the steps of: using an adaptive filter for a digital filter 200 that performs the same response as a certain unknown system 100 or a response that is close to it in order to produce the digital filter 200; connecting the unknown system 100 to the digital filter 200 in parallel; inputting to the digital filter 200 the same signal (x) as an input signal to be input to the unknown system 100; and performing coefficient update so that the coefficient of the digital filter 200 becomes an optimal coefficient, on the basis of an error (e) between a signal y(d) output from the unknown system 100 and a signal (u) output from the digital filter 200, wherein the digital filter 200 has the structure of the IIR type filter and for updating the coefficient of the digital filter 200, a coefficient update algorithm applicable to an FIR type filter is used.