Chapter headings and selected topics: Preface. A General Introduction to Parameter Estimation. Steps in the identification process. Parameter estimation, an example: measurement of a resistor. The ideal estimator. A Review of Estimation Methods and their Applications. Motives in focusing on the least squares technique. Parametric models. Time domain versus frequency domain. Errors due to noise on the independent variables. A Maximum Likelihood Estimator for Linear Time Invariant Systems. Measurement of a resistance. Estimation of transfer functions: a practical approach. Estimation of transfer functions: a theoretical approach. Numerical considerations. Extensions of the model. Application of ELiS to experimental data. Conclusions. Design of Excitation Signals. Optimization of the time domain behaviour of excitation signals. Optimizing the frequency domain behaviour of excitation signals: design of optimized power spectra. Model Selection. Verification of model validity. Introduction of the model complexity in the cost function. Study of the influence of model errors on the behaviour of the cost function. Optimal experiment strategy. Examples. Estimation of Linear Time Invariant Systems with Delay. The estimation algorithm and its properties. Simulations. Phase Correction of Linear Time Invariant Systems with Digital Allpass Filters. Phase distortion. Optimization strategy. Noise sensitivity. Application of ELiS to Measurement Problems. Modal analysis. Flight flutter data analysis. A Guideline for Transfer Function Estimation. Accurate modeling of a linear analog system. References. Author index. Subject index.