Developed for studying long sequences of regularly sampled data, time series analysis methods are being increasingly investigated for the use of Structural Health Monitoring (SHM). In this research, Autoregressive (AR) models were used to fit the acceleration time histories obtained from two experimental structures: a 3-storey bookshelf structure and the ASCE Phase II Experimental SHM Benchmark Structure, in undamaged and limited number of damaged states. The coefficients of the AR models were considered to be damage-sensitive features and used as input into an Artificial Neural Network (ANN). The ANN was trained to classify damage cases or estimate remaining structural stiffness. The results showed that the combination of AR models and ANNs are efficient tools for damage classification and estimation, and perform well using small number of damage-sensitive features and limited sensors.