We have found an error in the proof of Lemma presented in our paper “A New Class of Particle Filters for Random Dynamic Systems with Unknown Statistics” (EURASIP Journal on Applied Signal Processing, 2004). In the sequel, we provide a restatement of the lemma and a corrected (and simpler) proof. We emphasize that the original result in the said paper still holds true. The only difference with the new statement is the relaxation of condition (3), which becomes less restrictive.