An experimental setup of a water based central heating system has been used to measure the thermo dynamical behavior of a thermostatic valve in order to identify an adequate mathematical model. The identification of the thermostatic valve is based on nonlinear Grey-Box modelling. Grey-Box modelling is characterized by the fact that, in the modelling procedure, partial known information from physics about a system is combined with information from data. The parameters of the model are estimated by a Maximum Likelihood Method. In the paper an overview of this modelling procedure is given.