A vehicle navigation system includes a Kalman filter having a first filter receiving satellite positioning data and a second filter receiving vehicle sensor data. The first filter generates a first state vector estimate and a corresponding first state error covariance matrix. The second filter generates a second state vector estimate and a corresponding second state error covariance matrix. A third filter receives the first and second state vector estimates and the first and second state error covariance matrices, and generates a combined state vector estimate and a corresponding combined state error covariance matrix. A prediction processor generates a predicted state vector estimate and a predicted state error covariance matrix from the combined state vector estimate and the combined state error covariance matrix. The predicted state vector estimate and the predicted state error covariance matrix are provided to the first filter, the second filter, and the third filter.