Methods of analyses of biological time series are presented and compared to the traditional techiiiques based on the Fourier transform. Paranietric methods are used for computation of the autoregressive estimator, for the model order selection and for the spectrum estirnation. A nonlinear analysis deals with the state-space trajectory reconstruction and with the fractal and embedding dirnension estirnation. Experimental resiilts compare the abilities of traditional, pararnetric and nonlinear methods to distinguish different cognitive States of the human operator by an analysis of an EEG curve.