1. A time series data analyzer for analyzing the segments obtained from time series data, comprising a segment condition input section, into which the shortest segment length, the longest segment length, and the total number of obtained segments including the shortest segment, the longest segment and the segments with different lengths ranging from the shortest segment length to the longest segment length, or each time step between the shortest segment and the longest segment are inputted as input items, an analysis condition input section, into which the minimum lag value, the maximum lag value, and the intervals for setting the series of lag values between the minimum lag value and the maximum lag value are inputted as input items, an optimum analysis condition deriving section, in which each of all the segments is analyzed on the basis of the segment conditions inputted in the segment condition input section and the analysis conditions inputted in the analysis condition input section, under all the analysis conditions by the maximum entropy method and the nonlinear least squares method, for selecting one appropriate segment and one appropriate analysis condition from all the analysis results and deriving the optimum segment length and the optimum lag value in correspondence to the selected results, and an analysis execution section, in which the optimum analysis conditions derived by the optimum analysis condition deriving section are set as analysis conditions, for executing the analysis by the maximum entropy method.