A method for adaptive and recursive estimation in a class of non-linear autoregressive models with external input is proposed. The model class considered is conditionally parametric ARX-models (CPARX-models), which is conventional ARX-models in which the parameters are replaced by smooth, but otherwise unknown, functions of a low-dimensional input process. These coefficient-functions are estimated adaptively and recursively without specifying a global parametric form, i.e. the method allows for on-line tracking of the coefficient-functions. The usefulness of the method is illustrated using prediction of power production from a wind farm as an example. A CPARX model for predicting the power production is suggested and evaluated for five wind farms in Denmark as well as one wind farm in Spain.