The present invention is concerned with the estimation of health parameters p(k) representing symptoms of a slowly degrading system, in particular industrial gas turbines. According to the invention, an estimation of a true health or independent parameter vector at time step k uses the estimation of the true health or parameter vector at a previous time step k−1 as a starting value for the production of a predicted health parameter vector at time step k. Based on the latter and a set of measured values of input variables of an extended model of the system, a prediction of output variables of the model is produced. This predicted model output is compared with measured values of the output variables to yield an error. From this error, a health parameter estimator in turn produces a health parameter estimate as a revision of the predicted health parameters. Preferably, the estimation of a true health or independent parameter vector at time step k includes a generalized process noise representing stochastic uncertainty and/or a-priori knowledge of an evolution of the health parameters.