In the previous chapter, we presented three types of autopilot system based on the stationary linear AR model. However, actual sea conditions may change gradually or abruptly due to various factors, and in such a situation, we must consider a nonstationary time series. Furthermore, it may become necessary to consider the nonlinear response of the ship, which will be of particular importance to tracking control. In this chapter, we propose extensions of our statistical optimal controller based on the locally stationary AR model and the RBF-ARX model and develop a noise-adaptive autopilot and a path-tracking autopilot.