Both ANFIS (Adaptive Neuro-fuzzy Inference System)and WT(Wavelet Transform) are widely used in the field of signal processing. ANFIS has the adaptive neuro-fuzzy inference ability. WT has the satisfying characteristics of time-frequency localization and multi-resolving power. The differences were studied and compared when they were applied in filtering. In the example, the filtered signal using WT lost some information in high frequency section, but its low frequency section was smooth. The estimated signal using ANFIS kept most of the high frequency information, but its low frequency section was rough. The reasons were discussed. At last, an improved method was advanced by combining both methods together, which got a better de-noising effect. The explanation of improvement was given. It is concluded that the improved method is useful to filter the rough measured signal without clear frequency character of noise, especially to the heavily noise-overlapped signal.