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This paper is devoted to the problem of robust H∞ filtering for a class of switched neutral system subject to stochastic disturbance and time-varying delay. Attention is focused on the design of a switched filter such that the filtering error system is robust mean-square exponentially stable with a weighted H∞ performance. Based on average dwell time approach and the piecewise Lyapunov function technique, sufficient conditions for the solvability of this problem are obtained in terms of linear matrix inequalities (LMIs). Then, by solving the corresponding LMIs, the desired full-order filter is derived for all admissible uncertainties, time-varying delays and stochastic disturbances. A numerical example is given to illustrate the effectiveness of the proposed method.