  The Kalman filter is extensively used for state estimation for linear systems
under Gaussian noise. When non-Gaussian L\'evy noise is present, the
conventional Kalman filter may fail to be effective due to the fact that the
non-Gaussian L\'evy noise may have infinite variance. A modified Kalman filter
for linear systems with non-Gaussian L\'evy noise is devised. It works
effectively with reasonable computational cost. Simulation results are
presented to illustrate this non-Gaussian filtering method.
