An extended federated filtering (EFF) algorithm is developed which can be applied to integrated navigation system and integrated attitude determination system. According to both information fusion theories and information conversation principle, it is proposed that information allocation is the inverse process of information fusion in EFF algorithm. The information allocation theorem is given and proved, which lays a theoretical foundation for EFF. Taking a certain satellite integrated attitude determination system as an example, the realization of EFF is discussed in detail. The theoretical analysis and simulation results show that EFF algorithm is less computation than present federated filtering algorithm, and EFF can guarantee both local optimum and global optimum, while present federated filtering can only guarantee global optimum.