The nonlinear system recursive maximum likelihood (RML) estimation method was derived based on Unscented Kalman Filter (UKF) and real-time joint estimation of parameters and states for missiles with incomplete information was realized.First the guidance law was introduced into the missile state estimation model and a state filtering model was established.Then the classical RML method for parameter identification was presented based on which the nonlinear RML was developed through UKF.Finally the parallel calculation of parameter identification and state estimation was completed.The numerical simulation result shows that this method has fast convergence speed good real-time performance and high estimation accuracy.