To track the non-stationary dynamics of the process which contains time-varying and multi-scale data, an online moving window multi-scale principal component analysis（MW-MSPCA） data-driven-based fault diagnosis method is proposed. In this data-driven diagnosis technique, wavelet threshold denoising is used to solve the conflict between the statistical model deviation and data correlation decreasing. The statistical models are updated by using moving window principal component analysis in various scales. The contribution of individual process variable to the process behavior change is illustrated in a 3-dimensional contribution chart. A quantitative evaluation mechanism is also given to evaluate the diagonising accuracy. The numerical experimental results for 6135D diesel demonstrate that the proposed method can diagnose sensor fault better in terms of false rejection, false alarm and diagnosing accuracy for fault diagnosis upon comparing with conventional multi-scale principal component analysis（MSPCA） and adaptive multi-way principal component analysis（AMPCA） modeling.