Design of gate tracking is usually made based on residual estimation, but the traditional residual estimation method is comparatively poor in precision under condition of the unknown target state. For this problem, this paper analyzes the application environments of two kinds of the existing residual estimation methods, and proposes an interactive estimation algorithm based on Markov chain. Firstly, the existing two kinds of estimation methods are used to predict respectively the residual value of next time. The prediction error is defined and calculated according to the predicted values. Then, the likelihood value is used to calculate the weight of each methods based on the transition matrix of Markov chain. Finally, the residual value of next time is sought out through weight summation. The simulation experiments show that the prediction accuracy obtained by this method is higher than that by the traditional methods under condition of the unknown target state.