In this paper, a novel sensor fault detection, isolation and identification (FDII) strategy is proposed by using the multiple model (MM) approach. The scheme is based on multiple hybrid Kalman filters (HKF) which represents an integration of a nonlinear mathematical model of the system with a number of piecewise linear (PWL) models. The proposed fault detection and isolation (FDI) scheme is capable of detecting and isolating sensor faults during the entire operational regime of the system by interpolating the PWL models using a Bayesian approach. Moreover, the proposed multiple HKF-based FDI scheme is extended to identify the magnitude of a sensor fault by using a modified generalized likelihood ratio (GLR) method which relies on the healthy operational mode of the system. To illustrate the capabilities of our proposed FDII methodology, extensive simulation studies are conducted for a nonlinear gas turbine engine. Various single and concurrent sensor fault scenarios are considered to demonstrate the effectiveness of our proposed on-line hierarchical multiple HKF-based FDII scheme under different flight modes. Finally, our proposed HKF-based FDI approach is compared with various filtering methods such as the linear, extended, unscented and cubature Kalman filters (LKF, EKF, UKF and CKF, respectively) corresponding to both interacting and non-interacting multiple model (MM) based schemes. Our comparative studies confirm the superiority of our proposed HKF method in terms of promptness of the fault detection, lower false alarm rates, as well as robustness with respect to the engine health parameters degradations.