To reduce the amount of data transfer in networked control systems and wireless sensor networks, measurements are usually taken only when an event occurs, rather than at each synchronous sampling instant. However, this complicates estimation and control problems considerably. The goal of this paper is to develop a state estimation algorithm that can successfully cope with event based measurements. Firstly, we propose a general methodology for defining event based sampling. Secondly, we develop a state estimator with a hybrid update, i.e. when an event occurs the estimated state is updated using measurements; otherwise the update makes use of the knowledge that the monitored variable is within a bounded set that defines the event. A sum of Gaussians approach is employed to obtain a computationally tractable algorithm.