The invention relates to a method for determining an error coefficient of an inertial device, in order to overcome the deficiency that the estimated value of the existing kalman filter is not unique by performing linear processing on a nonlinear state equation and a nonlinear observation equation and by calculating the error coefficient of the inertial device by using an extended recursive least square method. The method can adapt to the situation when the state equation and the observation equation are nonlinear functions, and can also meet the situation when the state equation and the observation equation are linear functions. The method can be used for realizing real-time calculation, is easy to implement and has a value of engineering practical application.