Silicon micro-gyroscope has been widely used in medium/low precision inertial stability platform and navigation system. By assembling gyroscope array, the output precision can be improved effectively. The output compensation method of gyroscope array is studied, and a Kalman filter structure based on gyroscope array is built up. A Moving Horizon Estimation (MHE) algorithm combined with U-D square root filter measuring refresh method is designed to improve the output precision of MHE. The experiment shows that the output error can be reduced by data fusion of gyroscope array. In static-state experiment, the output precision of MHE under horizon length N=1 is similar to that of U-D filter, while both of them are superior to traditional Kalman filter. Under low-dynamic test condition, benefitted by fusing the measuring output of preceding sampling points, the output precision can be further improved by MHE with horizon length N>1.