1. A parameter estimation device for estimating parameters relating to input and output of a control object by using a neural network, comprising: control domain division means for selecting at least one parameter which has strong correlation with non-linearity amongst input-output characteristics of the control object, as a parameter of a premise part of fuzzy operation, and dividing a control domain of the control object into a plurality of small domains by fuzzy estimation based on the parameter of the premise part; and estimation means for estimating dynamic behavior of the control object by using, as a consequent part of the fuzzy operation, a neural network which receives a parameter indicating the operation state of each of the small domains into which the control domain is divided.