In every filed of natural science, more and more researchers attach importance to system quantitative analysis, control and prediction. In filed of automatic control, system identification is the extension of system dynamic characteristics testing. System modeling is the basis of system identification, non-parametric model can be obtained by means of dynamic characteristics testing, but parametric model must be established by means of parameter estimation algorithm, which is more prevalent than dynamic characteristics testing. Coal power plant produces more gas and dust, so how to control the fan system plays a very important role in environment protection. We must clarify the parameter of fan system before controlling it. The traditional Bayes identification algorithm is used widely in research and industry, and the effect is relatively good. The paper induces the concept of loss function based on traditional Bayes identification algorithm, and proposes an improved Bayes identification algorithm, which can be applied to fan system identification successfully.