This paper considers recursive tracking of one mobile emitter using a sequence of time difference of arrival (TDOA) and frequency difference of arrival (FDOA) measurement pairs obtained by one pair of sensors. We consider only a single emitter without data association issues (no missed detections or false measurements). Each TDOA measurement defines a region of possible emitter locations around a unique hyperbola. This likelihood function is approximated by a Gaussian mixture, which leads to a dynamic bank of Kalman filters tracking algorithm. The FDOA measurements update relative probabilities and estimates of individual Kalman filters. This approach results in a better track state probability density function approximation by a Gaussian mixture, and tracking results near the Cramer-Rao lower bound. Proposed algorithm is also applicable in other cases of nonlinear information fusion. The performance of proposed Gaussian mixture approach is evaluated using a simulation study, and compared with a bank of EKF filters and the Cramer-Rao lower bound.