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Given several bits of quantized observations, this paper presents the moving horizon state estimation approach based on several quantized data for wireless sensor networks. The current moving horizon strategies for nonlinear discrete-time systems can not deal with quantized measurements since they use the whole information of measurements. The moving horizon method for nonlinear systems proposed in this paper can be applied in wireless sensor networks that the observations should be quantized into several bits. A numerical example demonstrates our algorithms could acquire good performance.