The problem of parameter identification, for single-input, single-output ARX systems, is considered. Recent results in H-infinity-nonlinear filtering are used to formulate a nonlinear H-infinity time-domain prediction-error-modeling (PEM) identification method. The performance of the new method is guaranteed by a preassigned bound on the ratio between the energy of the prediction error of the obtained model and the energy of the exogenous disturbances. The potential usefulness of the H-infinity time-domain identification method is illustrated by a numerical example.