A time series data prediction/diagnosis apparatus includes a first creator creating a model series using time series data items sequentially input, a first calculator calculating a prediction error for the model series at each input of a new time series data item, a second creator creating a plurality of model series candidates when an error between the new time series data item and the model series is larger than a predetermined error, a selector selecting an optimal model series among the plurality of model series candidates and set the optimal model series to a new model series, a second calculator calculating a prediction value using the new model series, and a diagnosis unit diagnosing why the prediction value is led for an output value by the second calculator and add a diagnosis result to the prediction value.