ABSTRACTThe Kalman filter provides an optimal estimation for a linear system with Gaussian noise. However, when the noises are non‐Gaussian in nature, its performance deteriorates rapidly. For non‐Gaussian noises, maximum correntropy Kalman filter (MCKF) is developed which provides a more accurate result. In a scenario, where the actual system model differs from nominal consideration, the performance of the MCKF degrades. For such cases, in this article, we have proposed a new robust filtering technique for a linear system which maximizes a cost function defined by exponential of weighted past and present errors weighted with the kernel bandwidth. During filtering, at each time step, the kernel bandwidth is selected by maximizing the correntropy function of error. Further, a convergence condition of the proposed algorithm is derived. Numerical examples are presented to show the usefulness of the proposed filtering technique.