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Since physical parameters are much more sensitive than modal parameters, structural parameter identification with an extended Kalman filter (EKF) has received extensive attention in structural health monitoring for civil engineering structures. In this paper, EKF-based parameter identification technique is studied with numerical and experimental approaches. A four-degree-of-freedom (4-DOF) system is simulated and analyzed as an example. Different integration methods are examined and their influence to the final identification results of the structural stiffness and damping is also studied. Furthermore, the effect of different kinds of noise is studied as well. Identification results show that the convergence speed and estimation accuracy under Gaussian noises are better than those under non-Gaussian noises. Finally, experiments with a five-story steel frame are conducted to verify the damage identification capacity of the EKF. The results show that stiffness with different damage degrees can be identified effectively, which indicates that the EKF is capable of being applied for damage identification and health monitoring for civil engineering structures.