As a noise analysis method for inertial sensors, the traditional Allan variance method requires the storage of a large amount of data and manual analysis for an Allan variance graph. Although the existing online estimation methods avoid the storage of data and the painful procedure of drawing slope lines for estimation, they require complex transformations and even cause errors during the modeling of dynamic Allan variance. To solve these problems, first, a new state-space model that directly models the stochastic errors to obtain a nonlinear state-space model was established for inertial sensors. Then, a neural-extended Kalman filter algorithm was used to estimate the Allan variance coefficients. The real noises of an ADIS16405 IMU and fiber optic gyro-sensors were analyzed by the proposed method and traditional methods. The experimental results show that the proposed method is more suitable to estimate the Allan variance coefficients than the traditional methods. Moreover, the proposed method effectively avoids the storage of data and can be easily implemented using an online processor.