Abstract: In this paper the model error introduced by the polynomial smoothing is analyzed and the estimating formula for the tolerable interval of the memory is given.When the memory interval is greater than the tolerable value, then the effect of the model error must be considered and the usual polynomial smoothing is no longer the linear minimum covariance estimate. It is shown that in this care the polynomial smoothing with model error should be applied and that it will give the linear minimum covariance estimate. This smoothing method is demonstrated in the second part of this paper and there the simulation results are also given for comparison with the usual one.