Extended Kalman Filter (EKF) has been a popular approach to localization a mobile robot. However, the performance of the EKF and the quality of the estimation depends on the correct a priori knowledge of process and measurement noise covariance matrices ( k Q and k R , respectively). Imprecise knowledge of these statistics can cause significant degradation in performance. This paper proposed the development of an Adaptive Neuro-Fuzzy Extended Kalman Filtering (ANFEKF) for localization of robot. The Adaptive Neuro-Fuzzy attempts to estimate the elements of k Q and k R matrices of the EKF algorithm, at each sampling instant when measurement update step is carried out. The ANFIS supervises the performance of the EKF with the aim of reducing the mismatch between the theoretical and actual covariance of the innovation sequences. The free parameters of ANFIS are trained using the steepest gradient descent (SD) to minimize the differences of the actual value of the covariance of the residual with its theoretical value as much possible. The simulation results show the effectiveness of the proposed algorithm.