A new fuzzy neural network model is presented in this paper. In the new model, the fuzzy rules are generated through the competitive classification of samples without the aid of domain experts. One class of samples forms a fuzzy rule. The consequent part of each fuzzy rule is a feed forward neural network trained using the corresponding class of samples. The application of the fuzzy neural network to the analysis of time series is taken as an example to demonstrate the effectiveness of the fuzzy neural network through the comparison with the conventional analysis of time series and neural network methods.