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This paper proposes a novel algorithm to jointly determine the structure and the parameters of a posteriori probability model based on neural networks (NNs). It makes use of well-known ideas of pruning, splitting, and merging neural components and takes advantage of the probabilistic interpretation of these components. The algorithm, so called a posteriori probability model selection (PPMS), is applied to an NN architecture called the generalized softmax perceptron (GSP) whose outputs can be understood as probabilities although results shown can be extended to more general network architectures. Learning rules are derived from the application of the expectation-maximization algorithm to the GSP-PPMS structure. Simulation results show the advantages of the proposed algorithm with respect to other schemes.