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High cycle fatigue is a major cause of cracking in steel structures subjected to cyclic loading. It can result in substantial financial losses and structural failures compromising the safety of users. Uniaxial methods are in many cases insufficient for large in-service structures with complex geometry and connections subjected to multiaxial non-proportional loadings. A new method for fatigue life prediction for complex structures is presented using the critical plane method and the Kalman filter. The applicability of the methodology proposed is demonstrated and evaluated in a roller coaster support structure. Strain rosettes and accelerometers were installed on a support bracket near weld lines to measure responses. A substructure model is defined and used to estimate response prediction in the weld of the support bracket. The estimation of the input and the state estimation is performed using the augmented Kalman filter method, based on the response measurements and the substructured model. This new methodology is anticipated to be used for real-time fatigue prognosis of highway bridges.