Based on the idea of multi-scale, this paper converts the state and measurement equations established on the
finest scale into those described in the form of data-block. Then wavelet transformation technique is used to decompose
the block state vector on the finest scale into the coarse scale, and the measurement equation established in the finest scale
is expressed in the form of block state vector on the coarse scale. Finally, a multi-scale single-model filtering method of
dynamic system is combining the normal Kalman filtering technique. By applying the proposed method to the multi-sensor
integrated navigation system, the simulation results show that this method has better fusion precision without increasing the
computation magnitude.