Abstract: The nonstationary behaviors of complex system and their applications to the climate prediction are a significant and forward looking field of research. Up to now, they are not yet known and understood very well. In reality, climate is just a normal nonstationary system. However, almost all the current theories for climate prediction, including the ones in statistics and nonlinear science, are based on assumption that the process is stationary which is contrary to the nature of the climate process. Probably, this contradictory is an important cause resulting climate prediction at a lower level. In addition, in recent odd ten years, it has been a commonly cognition that the climate process possesses hierarchy structure for more and more scientists, but yet they seem not to find an appropriate way for improving this concept and developing a perfect theory system. In fact, the hierarchy structure of climate system is just the cause to produce nonstationary behaviors, while the nonstationary behaviors of climate process is just the most important expression of the hierarchy structure. Under this consideration, this paper has systematically discussed some basic problems in the nonsationary climate system and built a preliminary theoretical frame to predict such a system.