The invention discloses an adaptive Kalman filtering algorithm applied to GPS navigation and mainly solves a problem that an adaptive Kalman filtering algorithm in the prior art can not realizes adaptive adjustment in a filtering process. The algorithm comprises steps that (1), algorithm parameters are set, and initialization of a target state is carried out; (2), an AR model is established, and a coefficient of the AR model is calculated by utilizing a Kalman filtering framework; (3), the target state is predicted by utilizing Kalman filtering on the basis of the AR model, and a prediction mean value and an error covariance are included; (4), the measurement data is utilized to update the target state, and a gain matrix, a posteriori estimation mean value and a posteriori estimation error covariance are calculated; and (5),a state noise covariance is adaptively calculated online, a state value and a covariance of a target position are outputted, k is made to increase 1, and the process returns to the step (2). Compared with the adaptive Kalman filtering algorithm in the prior art, the method can realize more accurate target state estimation, and the method can be applied to practical GPS navigation systems.