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Horizon size is an important parameter that affects the estimation performance of finite impulse response (FIR) filters. In this brief, we propose a novel adaptive horizon approach that aims to adapt the horizon size at each time point. The approach suggests providing state estimation using a bank of FIR filters called the switching extensible FIR filter bank (SEFFB), which consists of several FIR filters operating using different horizon sizes. The horizon sizes and the number of FIR filters in the SEFFB are adapted to changes in system characteristics using maximum likelihood. The SEFFB is applied to target tracking using a ground moving target indicator. A significant performance improvement is demonstrated using the SEFFB in comparison with a single FIR filter using constant optimal horizon size.Index Terms-Adaptive horizon, finite impulse response (FIR) filter, state estimation, switching extensible FIR filter bank (SEFFB).