1. A method of monitoring a system having a normal working state corresponding to normal operation of said system and a plurality of individual failure states corresponding to different failure modes of said system, said system exhibiting respective sets of measurable parameters corresponding to inputs and behavior symptoms causally related to said inputs, said method performed in successive sampling intervals and comprising: defining plural transition probabilities for plural pairs of said states, each transition probability being related to the probability that said system will change from one to the other of said pairs of states at any time, wherein said defining plural transition probabilities comprises estimating a mean time between failures (MTBF) characteristic of each of said failure states and computing each corresponding transition probability therefrom; observing a set of actual values of said parameters in a current one of said sampling intervals; obtaining an instantaneous probability comprising an estimate of the probability of one of (a) said set of actual values being observed and (b) said system being in said one state, given the other of (a) and (b); computing plural respective intermediate probabilities corresponding to respective ones of said states, each intermediate probability being equal to the corresponding instantaneous probability of said one state multiplied by a sum over plural states of the intermediate probability for a given state computed during the previous sampling interval multiplied by the transition probability between said given state and said one state; and computing from the intermediate probability of the current sampling interval for each one of said states a posterior probability that said system is in the corresponding one of said states given the sets of actual values observed over the current and previous sampling intervals, and determining from the posterior probabilities of the plural states whether said system has transitioned to one of said failure states and, if said system has transitioned to one of said failure states, issuing an indication corresponding thereto.