A damage identification method is proposed to identify the damage of a shear frame structure. First, the substructure division method is proposed based on the motion equation of the shear frame and the center difference method. Next, the order determination method of autoregressive moving-average with exogenous inputs(ARMAX) model for the substructure is proposed based on the comparison with ARMAX model and the motion equation of the substructure. Then, the vector is extracted from the elements of the ARMAX coefficient variables as a damage vector, and the Mahalanobis distance of the damage vector is defined as the damage feature. Finally, the area under a receiver operating characteristic curve is used to localize the damage and the Bhattacharyya distance is used to quantify the magnitude of the damage. Results from a simulated model and a frame structure shows that the damage location and severity of a shear frame structure can be successfully identified and a reasonable amount of noise can be eliminated.