For thermostatically controlled loads (TCLs) to perform demand response services in real-time markets, online methods for parameter estimation are needed. As the physical characteristics of a TCL change (e.g. the contents of a refrigerator or the occupancy of a conditioned room), it is necessary to update the parameters of the TCL model. Otherwise, the TCL will be incapable of accurately predicting its potential energy demand, thereby decreasing the reliability of a TCL aggregation to perform demand response. In this paper, we investigate the potential of various unscented Kalman filter (UKF) algorithm variations to recursively identify a TCL model that is non-linear in the parameters. Experimental results demonstrate the parameter estimation of two residential refrigerators. Finally, simulation results demonstrate the incorporation of the recursive parameter estimation methods into a model predictive controller for demand response. (C) 2016 Elsevier Ltd. All rights reserved.