Maybe you should look at the following books: 1. Ljung System Identification; 2. Isermann; 3. Peter Young, and so on. In some of these books the matlab identification and simulation procedures are also explained.
The appropriate identification method depends on the identification problem (process), which you are trying to solve (identify). In the case of parametric identification, the structure (order) of the model and its parameters must be determined (estimated). It is also important if the identified model of the process will be used for the analysis purposis, prediction purposes, in the context of process control, and so on. If you only observe certain time series (generated by certain stochastic process), then you should maybe try to use the Box Jenkins family of models (for example ARMA or ARIMA). If there are also exogenous inputs involved, which influence on the observed proces, the use of ARMAX or ARIMAX models might be the right choice. Besides the identification toolbox, there are also other toolboxes possible to use, such as: NNSID toolbox, econometric toolbox, and so on.
I've used the system identification toolbox for identifying linear state space models using subspace methods. It is very easy to use and the models tend to be very accurate. I can help you with any specific questions on the subject.
In nonlinear systems you should use identification techniques nonparametric , which involves reviewing the data obtained from the samples, you apply a moving average filter to cancel out noise so you can use the GUI identification with ARMAX technique that can give you more than 90% of effectiveness .
The book Ljung Identification System has the steps .