A dynamic system estimation device and method, whereby estimation for more performance parameters than there are sensors can be performed, the estimation taking temporal changes into account. The dynamic system estimation device includes: a prescribed number of sensors that detect prescribed observation values from a gas turbine engine; and a Kalman filter that uses a dynamic model of the gas turbine engine and estimates the state of the gas turbine engine, on the basis of the observation values detected by the sensors. The gas turbine engine includes an element having changes in temporal performance recorded by performance parameters. The Kalman filter enables more than the prescribed number of performance parameters to be estimated, as a result of introducing a first-order lag element in place of the element.