A large-scale sound system or communication system is numerically and stably identified. When an input signal is represented by the M(≦N)-th order AR model, high-speed H∞ filtering can be performed with a computational complex 3N+O(M). A processing section determines the initial state of a recursive equation (S201), sets CUk according to an input uk (S205), determines a variable recursively (S207), updates a matrix GkN, calculates an auxiliary gain matrix KUkN (S209), divides it (S211), calculates a variable DkM and a backward prediction error ηm, k (S213), calculate a gain matrix Kk (S215), and updates a filter equation of a high-speed H∞ filter (S217). To reduce the computational complexity, Kk(:, 1)/(1+&ggr;f−2 Hk Kk (:, 1)) is directly used as the filter gain Ks, k.