1. A time-series data prediction device that calculates a predicted value of an observation value based on time-series data of the observation value, comprising: an acquisition unit that acquires a plurality of observation values that continue at predetermined time intervals, as a prediction data, from time-series data of an observation value of a predetermined observation target and acquires a training data; a prediction model generation unit that generates a prediction model to calculate time-series data, which is an observation value predicted based on given time-series data, using the training data; and a prediction unit that calculates a predicted value of an observation value using the prediction model generated by the prediction model generation unit and the prediction data acquired by the acquisition unit.