In realistic power system state estimation, the distribution of measurement noise is usually assumed to be Gaussian while many researcher have verified that it can be non-Gaussian. In this paper, a new robust state estimator based on exponential absolute value function is proposed to address the non-Gaussian measurement noise and outliers. The influence function, a robust statistics tool, is used to obtain the state estimates to reduce its computational burden. A state estimation mean squared error formula of the proposed robust estimator is derived which can be used as a reference in the wide area monitoring system design or upgrade. Simulation results obtained from the IEEE 30-bus, 118-bus and 300-bus systems verify the effectiveness and robustness of the proposed robust estimator.