A gas turbine engine can be considered as a very complex and expensive mechanical system; furthermore, its failure can cause catastrophic consequences. That is why it is desirable to provide the engine by an effective condition monitoring system. Such an automated system based on measured parameters performs monitoring and diagnosis of the engine without the need of its shutdown and disassembly. In order to improve gas turbine reliability and reduce maintenance costs, many advanced monitoring systems have been developed recent decades. Design and use of these systems were spurred by the progress in instrumentation, communication techniques, and computer technology. In fact, development and use of such systems has become today a standard practice for new engines.As shown in (Rao, 1996), an advanced monitoring system consists of different components intended to cover all gas turbine subsystems. A diagnostic analysis of registered gas path variables (pressures, temperatures, rotation speeds, fuel consumption, etc.) can be considered as a principal component and integral part of the system. Many different types of gas path performance degradation, such as foreign object damage, fouling, tip rubs, seal wear, and erosion, are known and can be diagnosed. Detailed descriptions of these abrupt faults and gradual deterioration mechanisms can be found, for instance, in (Rao, 1996; Meher-Homji et al., 2001). In addition to the mentioned gas path faults, the analysis of gas path variables (gas path analysis, GPA) also allows detecting sensor malfunctions and wrong operation of a control system . Moreover, this analysis allows estimating main measured engine performances like shaft power, thrust, overall engine efficiency, specific fuel consumption, and compressor surge margin.The GPA is an area of extensive studies and thousands of published works can be found in this area. Some common observations that follow from the publications and help to explain the structure of the present chapter are given below.According to known publications, a total diagnostic process usually includes a preliminary stage of feature extraction and three principal stages of monitoring (fault detection), detailed diagnosis (fault localization), and prognosis. Each stage is usually presented by specific algorithms.The feature extraction means extraction of useful diagnostic information from raw measurement data. This stage includes measurement validation and computing deviations. The deviation of a monitored variable is determined as a discrepancy between a measured value and an engine base-line model. In contrast to the monitored variables themselves that www.intechopen.com