Abstract-Inspired by the framework of the Interacting Multiple Model (IMM), a method, called Interacting Multiple Gaussian Particle Filter (IMGPF), is proposed for solving the nonlinear Bayesian filtering problem with unknown continuous parameter. IMGPF regards the continuous parameter space as a union of disjoint subspaces, and each subspace is assigned to a model respectively. At each time step, for each model of IMGPF, under the assumption that the parameter belongs to the corresponding subspace, a Gaussian Particle Filter is applied to estimate the parameter and the state together. The parameter of each model of IMM is a fixed value, while the parameter of each model of IMGPF is a random variable need to be estimated. Thus IMGPF can achieve better estimation performance than IMM when the true parameter does not close to any element of the IMM model set. A simulation example of bearings only tracking problem is presented to demonstrate the effectiveness of IMGPF.