This technical note deals with the problem of finite horizon H_∞ fault detection for linear discrete time-varying systems. Using an observer-based fault detection filter (FDF) with residual feedback as a residual generator, a new problem formulation of fault detection is first presented. Then the design of finite horizon H_∞ -FDF is converted into a minimum problem of certain quadratic form. Through building a relationship with Krein space projection and applying innovation analysis, a sufficient and necessary condition for the minimum is derived and a solution to the H_∞ -FDF is obtained by recursively computing Riccai recursions. Numerical examples are given to show the effectiveness of the proposed method.