In this work, artificial neural networks and the Box & Jenkins models (1970) were used for analysis, modeling and forecasts of water discharges and pressure head development in the Corumbá-I dam, owned by Furnas Centrais Elétricas, from the instrumentation data recorded since 1997. Prediction of the probable values can be a powerful tool for early detection of abnormal conditions during the dam operation. The use of statistical methods and artificial neural network techniques are specially recommend in situations where a solution with a deterministic approach, analytical or numerical, is difficult for involving three- dimensional modeling, complex boundary conditions and uncertainty with respect to the spatial and temporal variation of the material properties of the dam and its foundation. Time series analyses are traditionally carried out using a statistical approach, such as the Box & Jenkins models. However, artificial neural networks have become in the recent years an attractive alternative for time series problems due to their inherent ability to analyze nonlinear and non-stationary phenomena. Three applications of time series analysis, related to the instrumentation data collected from Corumba-I dam, are presented and discussed in this thesis: forecast of water discharges through the foundation near the dam left abutment, prediction of pressure heads in piezometers installed in the impermeable central core and the residual soil foundation and, finally, prediction of the pressure heads that would be read in a piezometer that, at a given instant of time, stops working being supposedly damaged. In all these cases, the results obtained from the Box & Jenkins models as well as the artificial neural networks are quite satisfactory.