The invention provides a method and system of the prediction of time series data. The method comprises the steps that wavelet decomposition is conducted on the sequence formed by t-1 moment data, n subsequences are obtained; stationary detection is conducted on n subsequences respectively; for non-stationary time series, an advance learning LSTM model is built using the t-1 moment data, and the values of t moment are predicted respectively, and forecasts of the non-stationary part are obtained by summing; similarly, for stationary sequences, ARMA models are respectively built and the values of t moment are predicted, and the forecasts on stationary part are obtained by summing; finally the prediction values of the non-stationary part and the stationary part at t moment are summed, to obtain the final forecast value. By the method and system of the prediction of time series data, by wavelet decomposition, the advantages of LSTM and ARMA are combined, in comparison with traditional methods, better effects are provided in dealing with non-stationary time series. In addition, by benefiting from the unique LSTM structure in the model, the forecasting and the generalization ability of the method is better, and the method is suitable for time series prediction in various fields.