A time series analysis system can perform computation with a less amount of computation than before when a long-term trend component and a long-term cyclic component are handled, or when a plurality of cyclic components is handled. From input time series data including a plurality of cyclic components, long-term time series data of a different series using a plurality of time spans is prepared for each of the time spans. Then, the long-term time series data for each of the time spans is removed from the original time series data, thereby preparing short-term time series data. Then, by learning through probability statistic processing that uses the long-term time series data and the short-term time series data, a model having a time span optimal for prediction of the time series data is selected as an optimal model, and is used for prediction of the time series data.