SummaryIn this paper, the parameter estimation issue of Wiener system with random time delay and missing output data is studied. The linear part of Wiener system is described by Finite Impulse Response (FIR) model. The mathematical formula of the Expectation Maximum algorithm to identify Wiener‐FIR system that contains the random time delay and the nonlinear output data in missing completely at random mechanism is derived, which is never considered before. To obtain the unmeasurable intermediate variable in Wiener‐FIR system, the idea of auxiliary model is adopted. The time delay and system parameters can be estimated simultaneously by this method. Numerical example and the identification of water tank system example are carried out, the effectiveness of the algorithm is proved.