A signal processing system and method for accomplishing signal processing using a neural network that incorporates adaptive weight updating and adaptive pruning for tracking non-stationary signal is presented. The method updates the structural parameters of the neural network in principal component space (eigenspace) for every new available input sample. The non-stationary signal is recursively transformed into a matrix of eigenvectors with a corresponding matrix of eigenvalues. The method applies principal component pruning consisting of deleting the eigenmodes corresponding to the smallest saliencies, where a sum of the smallest saliencies is less than a predefined threshold level. Removing eigenmodes with low saliencies reduces the effective number of parameters and generally improves generalization. The output is then computed by using the remaining eigenmodes and the weights of the neural network are updated using adaptive filtering techniques.