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The Bayesian approach is considered as the most general formulation of the state estimation for dynamic systems. However, most of the existing Bayesian estimators of stochastic hybrid systems only focus on the Markov jump system, few literature is related to the estimation problem of nonlinear stochastic hybrid systems with state dependent transitions. According to this problem, a new methodology which relaxes quite a restrictive assumption that the mode transition process must satisfy Markov properties is proposed. In this method, a general approach is presented to model the state dependent transitions, the state and output spaces are discreted into cell space which handles the nonlinearities and computationally intensive problem offline. Then maximum a posterior estimation is obtained by using the Bayesian theory. The efficacy of the estimator is illustrated by a simulated example.