Periodic measurement of response time of thermocouples is essential to ensure the safe operation of a nuclear reactor. However, in order to avoid human access to radiation areas, it is required to be done in-situ. In this paper, the technique of two thermocouple probe to compute time constant is discussed and a system identification approach for the same is presented. Bandwidth of a thermocouple is limited by its physical properties and fluid properties. Also, robust thermocouple assemblies used in harsh environment usually have large time constants, which may not meet the requirement of safe, fast and efficient temperature measurement. In this paper, Kalman filter is utilized to estimate and hence reconstruct the input temperature to a thermocouple with dynamic compensation. With a known model of the thermocouple, cast in an appropriate form, the filter parameters are tuned to achieve desired response time.