This paper concerns with a receding horizon estimator (RHE) for discrete-time linear systems subject to constraints on the estimate. In solving the optimization for every horizons, the past all measurement data outside the horizon is discarded and thus the arrival cost is not considered. The RHE in the current work is a finite impulse response (FIR) structure which has some good inherent properties. The proposed RHE can be represented in the simple matrix form for the unconstrained case. Various numerical examples demonstrate how including constraints in the RHE can improve estimation performance. Especially, in the application to the unknown input estimation, it will be shown how the FIR structure in the RHE can improve the estimation speed.