Multi-sensor systems are very powerful in the complex environments. The cointegration theory and the vector error correction model, the statistic methods which widely applied in economic analysis, are utilized to create a fitting model for homogeneous sensors measurements. An algorithm is applied to implement the model for error correction, in which the signal of any sensor can be estimated from those of others. The model divides a signal series into two parts, the training part and the estimated part. By comparing the estimated part with the actual one, the proposed method can identify a sensor with possible faults and repair its signal. With a small amount of training data, the right parameters for the model in real time could be found by the algorithm. When applied in data analysis for aero engine testing, the model works well. Therefore, it is not only an effective method to detect any sensor failure or abnormality, but also a useful approach to correct possible errors.