This paper expatiates the thoughts of data mining with embedded knowledge and the techniques status quo of data mining. Based on the thoughts and the grey system (GS) theory, it proposes the GS-based data mining method set (GDMS) for time sequence first. Then this paper introduces the idiographic arithmetic withGM(1,1) as an example. Last, it forecasts the total homes connecting with Internet in Shanghai in M02—2005 by the arithmetic.