Electroencephalogram (EEG) and local field potential (LFP) signals are measured for both experimental and clinical purposes which include sleep stage analyses, brain–computer interfaces, and disease diagnosis. EEG and LFP data analyses are typically based on models assuming that the measured data is generated from a biological system and estimate the model parameter values that most accurately reproduce the measured data. Thus, use of a biologically plausible model is important for a model‐based analysis. However, analyses using models that include time delay and nonlinearity have not been reported, even though they are biologically important for EEG generation mechanisms. In this study, we developed a parameter estimation method that uses a particle filter for models with time delay and nonlinearity, which was evaluated with simulations. Simulated EEG data were generated from neural mass models (NMMs). The NMM parameters were estimated from the generated data. Furthermore, parameters for modeling EEG features of patients with Alzheimer's disease were included in the NMM; the disease parameters were estimated from the simulated EEG data. We observed that NMM parameters, as well as the disease parameters, were accurately estimated from the simulated data. We conclude that the validity of our method for estimating parameters of NMMs including time delay and nonlinearity is confirmed for simulated EEG data, and these results show the possibility of using our method for model‐based analysis with real EEG data. © 2017 Institute of Electrical Engineers of Japan. Published by John Wiley & Sons, Inc.