Abstract: The Extended Kalman Filter (EKF) has been the state of the art in integrated navigation systems and especially in Pedestrian Dead-Reckoning PDR for foot-mounted Inertial Measurements Units. However in most related work with PDR, indirect filtering approach is used based on linear error Kalman Filter (KF). In this work, it is proposed to outperform this approach by the use of Direct filtering approach, which involves the non-linearity in the propagation of the orientation, velocity and in some models, in position coordinates, where the EKF can not achieve optimal estimation. We propose then, the usage of the most recent algorithms developed in the last decade; Sigma Point Kalman Filters (SPKF), especially based on Cubature rule, called Cubature Kalman Filter (CKF) as the integration algorithm for the inertial measurements. The CKF improves the mean and covariance propagation consequently comparing with EKF and previous SPKF (UKF, CDKF). Although the CKF provides a better estimate of the orientation, velocity and position with Zero velocity UPdaTes (ZUPT) measurements and Zero Angular Rate UpdaTes (ZARUT), additional sensors are necessary to measure other states such as yaw angle and to estimate properly the gyroscope bias. We studied then the possibility to integrate electronic compass as additional measure and also Map street data base or Map building data base depending on the type of navigation "Indoor", "Outdoor". In order to get much better estimation based on the Cubature rule, it is proposed to synthesize CKF in order to get robust estimation against nonlinearity of the process and the multiple measurement sensors.