Hammerstein–Wiener (H–W) systems are a class of typical nonlinear systems. This paper studies the gradient-based parameter estimation algorithms for H–W nonlinear systems based on the multi-innovation identification theory and the data filtering technique. The proposed methods include a generalized extended stochastic gradient (GESG) algorithm, a multi-innovation GESG (MI-GESG) algorithm, a data filtering based GESG (F-GESG) algorithm and a data filtering based MI-GESG algorithm. Finally, the computational efficiency of the proposed algorithms are analyzed and compared. The simulation example verifies the theoretical results.