ABSTRACT The Kalman filter is one of the most widely used methods for state estimation and control purposes. However, it requires correct knowledge of noise statistics, which are unknown or not known perfectly in real-life applications and then they need to be identified. Considering such background, this paper introduces a new adaptive Kalman filter algorithm in order to handle the unknown process noise covariance for linear discrete-time closed-loop systems. From the closed-loop joint analysis of the system and the a priori recursive form of the Kalman filter, we adaptively estimate the process noise covariance by relating it to the observation vector covariance. The latter is then obtained from an exponential moving average technique. Lastly, we also extend our adaptive methodology for a special class of nonlinear systems. The performance of the proposed adaptive method is demonstrated through numerical examples and it has been compared to other types of adaptive filtering algorithms.