PURPOSE:To provide a non-linear time-sequential data predicting device with which predictive accuracy higher than a fixed level, can be provided at all times and calculation time is shortened as well. CONSTITUTION:This non-linear time sequential data predicting device is provided with an attracter reconstituting means 2 for generating the attracter of time- sequential data in an n-dimensional state space by performing the embedding operation of data vectors, adjacent vector detecting means 4 for detecting plural adjacent vectors positioned near the processing object data vector, detecting means for difference between the axial component values of respective adjacent vectors and the axial component value of the processing object data vector concerning the axial component value to be a processing object, and axial component deciding means for detecting the axial component values of respective adjacent vectors after prescribed steps and deciding the axial component value of the processing object data vector after the prescribed steps so that the difference at the original data vectors can be reduced.
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