A nonlinear filtering method is introduced for the study of the solar wind-magnetosphere coupling and related to earlier linear techniques. The filters are derived from the magnetospheric state, a representation of the magnetospheric conditions in terms of a few global variables, here the auroral electrojet indices. The filters also couple to the input, a representation of the solar wind variables, here the rectified electric field. Filter-based iterative prediction of the indices has been obtained for up to 20 hours. The prediction is stable with respect to perturbations in the initial magnetospheric state; these decrease exponentially at the rate of 30 min-1. The performance of the method is examined for a wide range of parameters and is superior to that of other linear and nonlinear techniques. In the magnetospheric state representation the coupling is modeled as a small number of nonlinear equations under a time-dependent input.