A method, and program for implementing such method, for use in estimating a conditional probability distribution of a current signal state and/or a future signal state for a non-linear random dynamic signal process includes providing sensor measurement data associated with the non-linear random dynamic signal process. A filter operating on the sensor measurement data by directly discretizing both amplitude and signal state domain for an unnormalized or normalized conditional distribution evolution equation is defined. The discretization of the signal state domain results in creation of a grid comprising a plurality of cells and the discretization in amplitude results in a distribution of particles among the cells via a particle count for each cell.