An output parameter estimation apparatus for estimating an output parameter from an input data set that is composed of a plurality of input parameters and that is obtained whenever sampling time series input data. In this output parameter estimation apparatus, a fuzzy inference rule is used to calculate a fitness degree of the input data set in one of a plurality of fields included in a space that is formed using at least one input parameter. According to the calculated fitness degree, introduction routes through which the input data set is to be inputted into a neural network are selected. The neural network is set in a connection condition corresponding to the field to which the input data set belongs, the connection condition having been determined in advance as a result of learning process. With this connection condition, the neural network estimates the output parameter from the input data set inputted through the selected introduction routes.