There are still some statistical properties which have not been clarified in the regression model based on the three-layered neural network. This paper presents an analysis of these problems, in terms of the probability distribution of the parameter estimators. It is first shown numerically that the least-square estimator for the condition in which the probability distribution for the parameter estimator has not been clearly described follows a distribution which is different from the probability distribution derived in the past for various conditions. Based on the result, a theoretical analysis is presented for the simplified regression model, and it is shown that the least-square parameter estimator follows the double-exponential distribution. © 2004 Wiley Periodicals, Inc.