In this paper, some prediction methods of chaotic time series are summarized. Not only the phase space reconstruction method, a traditional chaotic time series prediction method, and some improved prediction algorithms based on this method are introduced, but also two other novel chaotic time series prediction methods (chaotic time series prediction method based on neural network and chaotic time series prediction method based on kernel adaptive filter) are presented focusing on the current frontier of chaotic time series research. In addition, future research directions of chaotic time series are analysed in this paper. In summary, this paper focuses on the methods of chaotic time series prediction.