We consider the problem of aerodynamic parameter estimation for aircraft dynamics modeled by a state space model where the statistic information of both the process and measurement noises are missing. To deal with the missing statistics, we propose in this work a new approach in which an augmented sigma point Rauch–Tung–Striebel (RTS) Kalman smoother is integrated with the expectation maximization (EM) algorithm. We define a new state vector by combining the original states and the unknown aerodynamic parameters. In addition, we impose a Gaussian random walk model for the unknown aerodynamic parameters and then build the extended state space model for the augmented RTS Kalman smoother. The expectation terms in the EM algorithm are approximated by the sigma point rule which is also applied in the augmented RTS Kalman smoother. Moreover, the non-convex optimization problem involved in the EM is solved in analytical forms rather than in numerical approaches. A comparative study of identifying the aerodynamic parameters of the flight test platform HFB-320 shows that the proposed approach achieves a substantial performance improvement over the existing ones, especially in terms of the convergence rate.