It is always hard to derive Jacobian matrix of some kind of nonlinear measurement functions in nonlinear filtering problems.Thusthe application of the iterated extended Kalman filter (IEKF) is much limited.The IEKF is derived through the GaussNewton method in this paperand a new filtering method called derivative free extended Kalman filter (DFIEKF) is presented through introducing secant method into IEKF.In the new method Jacobian matrix is substituted by the secant slope matrixwhich makes it more applicable.The results of digital simulations validate that the precision of DFIEKF is better than EKF and UKFand is slightly better than IEKF.