The auxiliary model identification idea,the multi-innovation identification theory,the hierarchical identification principle,and the coupled identification concept are new methods for studying identification problems,proposed by the author of this article.They have been applied to many identification researches and resulted in different identification method families,and can be used to solve adaptive signal processing,adaptive parameter estimation,adaptive filtering and prediction,adaptive control and other issues for many linear or nonlinear models.Any objective thing has a dual property:some of the characteristics variables are observable and some are unmeasurable.For the observed system,it is easy to set up the mathematical model for describing its law of motion.The unmeasurable property of thing brings us particular difficulties for setting up the mathematical model.In this case,how to use the measured information of the system to estimate the unknown variables of a system and then to establish the mathematical model of the system is a challenging research topic in the area of system identification,which is the root of the auxiliary model identification idea.This article introduces the auxiliary model identification idea and some auxiliary model based identification methods.