With the development of analysis and identification way to nonlinear dynamic system, people uses many different method to build up mathematics model to simulate nonlinear dynamic system. This paper introduces some important nonlinear system identification ways and a kind of Volterra series expression type in detail. This kind of way adopts Hilbert reproducing kernel method to build up nonlinear dynamic system model. Hilbert space provides a kind of effective expression type for Fourier series and transfer based on anyorthogonal polynomial. Volterra series function has very strict theory basic, which can be applied into many nonlinear dynamic system analysis and identification filed, and has broad practicality and application prospect.