To realize time-series data processing with a high degree of freedom and high precision by effectively constituting the mother wavelet of discrete wavelet conversion.

A time-series data processing system which compresses time-series data is equipped with: an approximate mother wavelet constitution processing means 21 for approximately constituting the mother wavelet on the basis of an arbitrary waveform specified according to the inputted time-series data; an approximate discrete wavelet conversion processing means 2 which performs the discrete wavelet conversion by using the approximately constituted mother wavelet for the inputted time-series data; and an encoding processing means 3 which performs encoding processing for the output from the approximate discrete wavelet conversion processing means 2.