1. A method of monitoring a data processing system including the steps of: providing ( 306 - 335 ) a set of samples of at least one performance a first indicator of a performance of the data processing system, characterized by the steps of estimating ( 336 - 342 ) an expected value of each performance the first indicator through a predictive algorithm based on the corresponding set of samples, detecting ( 343 - 354 ) a critical condition of the data processing system according to the at least one expected value; and taking a corrective action to prevent an actual occurrence of a problem when the critical condition is detected; wherein the providing, the estimating, the detecting, and the taking steps are performed by the data processing system.