A method and system detects and diagnoses faults in heating, ventilating and air conditioning (HVAC) equipment. Internal state variables of the HVAC equipment are measured under external driving conditions. Expected internal state variables are predicted for the HVAC equipment operating under the external driving conditions using a locally weighted regression model. Features are determined of the HVAC based on differences between the measured and predicted state variables. The features are classified to determine a condition of the HVAC equipment.