This paper proposes an innovative identification approach of nonlinear stochastic systems using Hammerstein–Wiener (HW) model with output-error autoregressive (OEA) noise. Two fuzzy systems are suggested for the identification of the input and output nonlinear blocks of a proposed model from given input-output data measurements. In this work, the need for the commonly used assumptions including well-known structure of input and/or output nonlinearities and/or reversible nonlinear output is eliminated by replacing the intermediate variables and noise with their estimates. Four parametric estimation algorithms to identify the proposed fuzzy-type stochastic output-error autoregressive HW (FSOEAHW) model are derived based on backpropagation algorithm and multi-innovation and data filtering identification techniques. The proposed algorithms are improved backpropagation gradient (IBPG) algorithm, multi-innovation IBPG (MIIBPG) algorithm, a data filtering IBPG (FIBPG) algorithm, and a multi-innovation-based FIBPG (MIFIBPG) algorithm. The convergence of the parameter estimation algorithms is studied. The effectiveness of the proposed algorithms is shown by a given simulation example.