Structural health monitoring (SHM) strategies should ideally consist of continuous on-line damage detection processes, which do not need to rely on the comparison of newly acquired data with baseline references, previously defined assuming that structural systems are undamaged and unchanged during a given period of time. The present paper addresses the topic of SHM and describes an original strategy for detecting damage in an early stage without relying on the definition of data references. This strategy resorts to the combination of two statistical learning methods. Neural networks were used to estimate the structural response, and clustering methods were adopted for automatically classifying the neural networks' estimation errors. To ensure an on-line continuous process, these methods were sequentially applied in a moving windows process. The proposed original strategy was tested and validated on numerical and experimental data obtained from a cable-stayed bridge. It proved highly robust to false detections and sensitive to early damage by detecting small stiffness reductions in single stay cables as well as the detachment of neoprene pads in anchoring devices, resorting only to a small amount of inexpensive sensors. Copyright © 2015 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]