A prediction method includes: acquiring time-series data of sets of a control input um and a control output ym as a sample of a control input u and a control output y; calculating, based on the time-series data, a value ρ* that minimizes a value of an evaluation function J(ρ,θ,um,ym) in a state where a parameter θ is set to a fixed value θ0, calculating a value θ* that minimizes the evaluation function J(ρ,θ,um,ym) in a state where a parameter ρ is set to the value ρ*; and calculating a prediction value up of the control input u and a prediction value yp of the control output y corresponding to a desired value r, based on a transfer function C(ρ*) in which the parameter ρ is set to the value ρ* and on a target response transfer function Td(θ*) in which the parameter θ is set to the value θ*.