Filter bag assembly for use in cleaning of process gas comprising an outer tubular filter bag and one or more inner tubular filter bags separately arranged within the outer tubular filter bag, and said one or more inner tubular filter bags also separately arranged within each other, the one or more inner tubular filter bags and the outer tubular filter bags having an open end and a closed end, and at least one of the inner tubular filter bags and/or the outer tubular filter bag being provided with catalytically active material.