In order to provide an estimation apparatus estimating a true value from observation data without determining a state equation for a target to be controlled, the estimation apparatus includes a prediction section and an update section. The prediction section executes linear prediction on time-series data, which includes observation values acquired from a sensor attached to the target to be controlled, to calculate an estimate value before update relating to a state of the target to be controlled. The update section updates the estimate value before update by using the observation value acquired from the sensor. The prediction section may calculate the estimate value before update by weighted linear prediction on the time-series data of the observation values.