This contribution proposes a robust recursive algorithm for the state estimation of linear models with unknown but bounded disturbances corrupting both the state and measurement vectors. A novel approach based on state bounding techniques is presented. The proposed algorithm can be decomposed into two steps: time updating and observation updating that uses a switching estimation Kalman-like gain matrix. Particular emphasis will be given to the design of a weighting factor that ensures the stability of the estimation error. (c) 2008 Elsevier Ltd. All rights reserved.