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Firstly, the implicit finite difference schemes with the shifted Gr\u00fcnwald-Letnikov approximations for spatial fractional derivative and unshifted Gr\u00fcnwald-Letnikov approximations for time fractional derivative are employed to discretize time-space fractional advection-diffusion equations. The discretization results in a series of large dense linear systems. Then, a banded preconditioner is proposed and some theoretical properties for the preconditioning matrix are studied. 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