Seems to be missing a tikz solution:

or with smaller text under the brace:

Code:
\documentclass{article}
\usepackage{mathtools}
\usepackage{xparse}
\usepackage{tikz}
\usetikzlibrary{calc}
\usetikzlibrary{decorations.pathreplacing}
\newcommand{\tikzmark}[1]{\tikz[overlay,remember picture] \node (#1) {};}
% Tweak these as necessary
\newcommand{\BraceAmplitude}{0.4em}%
\newcommand{\VerticalOffset}{0.8ex}%
\newcommand*{\HorizontalOffset}{0.0em}%
\NewDocumentCommand{\InsertUnderBrace}{%
O{} % #1 = draw options
O{yshift=0.0cm} % #2 = optional brace shift options
m % #3 = left tikzmark
m % #4 = right tikzmark
m % #5 = text to place under brace
}{%
\begin{tikzpicture}[overlay,remember picture]
\draw [densely dotted, draw=blue, text=black, #1]
($(#4)+(\HorizontalOffset,-\VerticalOffset)$) --
([#2]$(#4)+(\HorizontalOffset,-\VerticalOffset)$);
\draw [decoration={brace, amplitude=\BraceAmplitude}, decorate, thick, draw=blue, text=black, #1]
([#2]$(#4)+( \HorizontalOffset,-\VerticalOffset)$) --
([#2]$(#3)+(-\HorizontalOffset,-\VerticalOffset)$)
node [below=\VerticalOffset, midway, align=center] {#5};
\draw [densely dotted, draw=blue, text=black, #1]
([#2]$(#3)+(-\HorizontalOffset,-\VerticalOffset)$) --
($(#3)+(\HorizontalOffset,-\VerticalOffset)$);
\end{tikzpicture}%
}%
\newcommand{\MyEquation}{%
\tikzmark{StartBraceC}
\sqrt{%
\frac{1}{\tau}
\tikzmark{StartBraceB}
\int_{\text{-}\infty}^{t}
\tikzmark{StartBraceA}
p_{X}^{2}
\left(\xi\right)
\cdot e^{\frac{\text{-}\left(t\text{-}\xi\right)}{\tau}}
\tikzmark{EndBraceA}
\mathrm{d}\xi
\tikzmark{EndBraceB}
}
\hspace{0.5em}\tikzmark{EndBraceC}
}
\begin{document}
[ \MyEquation ]
%
\InsertUnderBrace[draw=red,text=red]{StartBraceA}{EndBraceA}
{Exponential \ time-weighting \ of $p_{X}^{,2}\left(\xi\right)$}
%
\InsertUnderBrace[draw=olive,text=olive][yshift=-1.5cm]{StartBraceB}{EndBraceB}
{Exponential \ integration}
%
\InsertUnderBrace[draw=blue,text=blue][yshift=-2.5cm]{StartBraceC}{EndBraceC}
{Exponential averaging \= Quasi mean-square"} % \vspace*{3.0cm}\par \bigskip\noindent or with smaller text \[ \MyEquation \] % \InsertUnderBrace[draw=red,text=red, font=\tiny]{StartBraceA}{EndBraceA} {Exponential time-\\weighting of $p_{X}^{\,2}\left(\xi\right)$} % \InsertUnderBrace[draw=olive,text=olive, font=\tiny][yshift=-0.8cm]{StartBraceB}{EndBraceB} {Exponential integration} % \InsertUnderBrace[draw=blue,text=blue, font=\tiny][yshift=-1.4cm]{StartBraceC}{EndBraceC} {Exponential averaging =Quasi mean-square"}
\end{document}