It is important to have practical methods for constructing and learning a good mathematical model for a building's thermal system in the presence of unmeasured disturbances and using data from closed loop operation. With this goal in mind, this paper presents a mathematical framework that explains the asymptotic behavior of an estimated model under those conditions and that can aid in learning an accurate model. Some analytic results from the literature of system identification are extended and interpreted for building systems. A new identification approach for determining an accurate thermal network (RC) model for a multi-zone building is developed based on the analytic result, and its superior performance over a conventional grey-box modeling approach is demonstrated experimentally.