The fractal dimension D may be calculated in many ways, since its strict definition, the Hausdorff definition is too complicated for practical estimation. In this paper we perform a comparative study often methods of fractal analysis of time series. In Benoit, a commercial program for fractal analysis, five methods of computing fractal dimension of time series (rescaled range analysis, power spectral analysis, roughness-length, variogram methods and wavelet method) are available. We have implemented some other algorithms for calculating D: Higuchi's fractal dimension, relative dispersion analysis, running fractal dimension, method based on mathematical morphology and method based on intensity differences. For biomedical signals results obtained by means of different algorithms are different, but consistent.