本文对于非线性非高斯问题，提出了一种改进扩展卡尔曼滤波（NIEKF）新方法。该方法将迭代滤波理论引入到扩展卡尔曼滤波器方法中，有效地重复利用新的测量信息，还利用Levenberg-Marquardt 方法调整预测协方差阵以保证算法具有全局收敛性。实验结果表明，所提方法具有更高的估计精度，是一种效率较高、性能较好的跟踪方法。-This non-Gaussian for nonlinear problems, an improved extended Kalman filter (NIEKF) the new method. The method of iterative filtering theory is introduced to the extended Kalman filter method, the effective measurement of repeated use of the new information, also using Levenberg-Marquardt method to adjust the covariance matrix of prediction algorithm to ensure global convergence. Experimental results show that the proposed method has higher estimation accuracy, is a high efficiency, good performance tracking methods.