FIELD: information and measurement technologies. ;SUBSTANCE: invention relates to the field of information and measurement systems and can be used for robust filtering of stochastic signals and state parameters of stochastic systems under conditions of uncertainty of the probabilistic characteristics of measurement interference. According to the invention, the filter contains the first block 1 of a vector functional transformation of dimension N, the first block 2 of matrix functional transformation of dimension N*N, the second block 3 of matrix functional transformation of dimension N*K, the second block 4 of vector functional transformation of dimension K, block 5 of subtracting vectors of dimension K, the third block 6 of a vector functional transformation of dimension K, block 7 of multiplying a matrix of dimension N*N by a matrix of dimension N* K, block 8 of multiplying a matrix of dimension N* K by a vector of dimension K, block 9 of summing vectors of dimension N, block 10 of integrating a vector of dimension N. ;EFFECT: increase of speed and accuracy of robust filtering of dynamic processes, as well as the reduction of computational costs by implementing a robust filter of the measured signal in differential form. ;1 cl, 1 dwg
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