PURPOSE: To make an estimated value of a tracking filter follow a change in the motion of a target by a method wherein a fading memory filter is adopted, a parameter determining the weighting of the filter is decided appropriately from an error between the estimated value and an observed value, and an estimation is performed based on said parameter.

CONSTITUTION: A gain matrix calculator is constituted by a digital circuit which receives a digital signal of a parameter ρk as an input and delivers each element of a gain matrix Kk as a digital signal. On the other hand, a parameter deciding unit 8 is constituted by a digital circuit which receives a digital signal of a residual ek as an input and delivers the digital signal of the parameter ρk. By this constitution, an estimation having the same accuracy as usual can be made when a target makes a linear motion. Even when the target turns to a circular motion, a digital signal value of an estimated value γk+1 of a tracking filter following the change in the motion of the target can be delivered by converting the value of the residual ek into the value of the parameter ρk and by feeding back this value to a gain of the tracking filter.