A novel guidance law estimation filter (GLEF) based on expectation maximization (EM) algorithm to track anti-ship missile target with mode switching is proposed in this paper. Firstly, joint estimation and identification using EM is to minimize the parameters uncertainty and improve estimation accuracy, which is used only in the special environments in order to decrease the calculation burden. Secondly, a new filter framework just like “electric circuit fault detection” is designed to detect mode change or parameters change. Finally, anti-ship missile's threat index such as the time of flight remaining and the impact angle is estimated. The effectiveness of the proposed method and the performance of GLEF are examined through the numerical simulation.