Probably an electrical filter
for reducing alternator noise - electrical noise - not sounds. They are sometimes used on sensitive electrical equipment like radio receivers, TVs, computers, loran, radar, etc. They cut down the voltage spikes and any AC component of the DC power source ie: alternator output, electrical motor noise.There should be a connection to DC ground (usually the metal case), another to the power source, and another to the device for which it provides filtered power. It might provide power for several devices.If you have an AM radio powered by the 12 volt system, you might hear the electrical or alternator noise by tuning the radio to an unused frequency and listening to the audio. It will affect the picture of a TV. If the alternator is creating interference, you can hear it change when you rev up the engine. If your refrigerator compressor is turned on, you may hear it turn on and off and the same for water pumps, bilge pumps, lamp dimmers, or inverters.Without a filter, those types of electrical interference may be more of a problem ie: louder. Some of the noise is not carried by the DC wiring but rather is picked up by the receiver. To figure that out, use a battery powered radio and compare what you get with it to what you get on the DC powered radio.If it is not connected, I would take it out.