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In order to have fault diagnosis for centrifugal compressor correctly, the times series analysis with neural network was carried out for it. The theory model of time series analysis method was put forward firstly, and the autoregressive coefficients diagnosis method was discussed then. And the neural network diagnosis method with AR coefficients was put forward at last. And the fault diagnosis results of centrifugal compressor were acquired based on BPNN and distance diagnosis method, and diagnosis results was good.