Application of neural networks in identification of non linear nonGaussian systems is treated. Stress is laid on a parameter estimation of the networks. They are trained by the Gaussian sum method which is a global filtering method allowing to determine conditional probability density functions of network weights. Proposed approach to estimation of network weights (parameters) based on Gaussian sum filtering method overcomes commonly used prediction error methods and it is an interesting alternative to sequential Monte Carlo methods. The considered training approach is demonstrated by an illustration example.