A new approach to $H_{infty}$ multi-step prediction is developed by applying the innovation analysis theory. Although the predictor is derived by resorting to state augmentation, nevertheless, it is completely different from the previous works with state augmentation. The augmented state here is considered just as a theoretical mathematic tool for deriving the estimator. A distributed algorithm for the Riccati equation of the augmented system is presented. By using the reorganized innovation analysis, calculation of the estimator does not require any augmentation. A numerical example demonstrates the effect in reducing computing burden.